Kalibrierung - Markov-Projektion zur Kalibrierung der Volatilität

Der Neueste Stand

Europäische Optionen sind meist die liquidesten am Markt verfügbaren Optionen. Sie sind tendenziell die einzigen, die für die Verwendung zur Modell-Kalibrierung ausreichend liquid sind. Daher muss jedes Modell der kritischen Anforderung gerecht werden, effiziente Methoden für die Bewertung europäischer Optionen zu liefern. Mit der Markov-Projektionsmethode entwickelt dieser Artikel einen sehr allgemeinen und leistungsstarken Ansatz zur Ableitung genauer Approximationen der Preise für europäische

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Digging deeper into deep hedging

Dynamic techniques and gen-AI simulated data can push the limits of deep hedging even further, as derivatives guru John Hull and colleagues explain

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