Kalibrierung - Markov-Projektion zur Kalibrierung der Volatilität
Vladimir Piterbarg erläutert die grundsätzlich auf jedes (Diffusions) Modell anwendbare "Markov-Projektionsmethode", mit der in geschlossener Form Approximationen an Preise europäischer Optionen auf verschiedene Basiswerte möglich sind. Hier wird eine nachvollziehbare Zusammenfassung der wesentlichen methodischen Aspekte präsentiert, der jeder folgen kann, der Approximationen an europäische Optionen durchführen will
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
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
Banks eye cost cuts ahead of RateStream Treasuries push
FX SpotStream’s move into rates seen as both fee-saver and potential boost to streaming execution
Real money investors cash in as dispersion nears record levels
Implied spreads were elevated to start 2026. Realised levels have been “almost unprecedented”
JP Morgan gives corporates an FX blockchain boost
Kinexys digital platform speeds cross-currency, cross-entity client payments
China eases cross-border grip in new derivatives rules
Lawyers hail return to a “more orthodox territorial approach” to regulating the market
Fannie, Freddie mortgage buying unlikely to drive rates
Adding $200 billion of MBSs in a $9 trillion market won’t revive old hedging footprint
Market-makers seek answers about CME’s cloud move
Silence on data centre changes fuels speculation over how new matching engine will handle orders
Neural networks unleashed: joint SPX/VIX calibration has never been faster
SPX and VIX options can be jointly calibrated in real time with deep neural networks
Ardagh CDS outcome satisfies some, but presents more questions
Early restructuring trigger and asset-package delivery could signify a new era for European trades
