article

Giorgia Callegaro and Lucio Fiorin and Martino Grasselli


Finance Group (2015) : Quantized calibration in local volatility models




Quantized calibration in local volatility models

Giorgia Callegaro and Lucio Fiorin and Martino Grasselli




article

Risk Magazine

In this paper we propose the first calibration exercise based on quantization methods. Pricing and calibration are typically difficult tasks to accomplish: pricing should be fast and accurate, otherwise calibration cannot be performed efficiently. We apply in a local volatility context the recursive marginal quantization methodology to the pricing of vanilla and barrier options. A successful calibration of the Quadratic Normal Volatility model is performed in order to show the potentiality of the method in a concrete example, while a numerical exercise on barrier options shows that quantization overcomes Monte-Carlo methods.

To cite this publication :


Giorgia Callegaro, Lucio Fiorin, Martino Grasselli: Quantized calibration in local volatility models. Dans: Risk Magazine, 9 , p. 62-67, 2015, ISSN: 0952-8776.





Candidature
Documentation

En savoir plus ?

Contactez-nous et téléchargez une documentation


Aussi intéressé(e) par :