The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options with uncertain volatility

DOI10.1155/2012/931609zbMATH Open1245.91100OpenAlexW1966024889WikidataQ58911004 ScholiaQ58911004MaRDI QIDQ428367FDOQ428367

Authors: Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli 

Publication date: 19 June 2012

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/931609

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• Measures of model uncertainty and calibrated option bounds
• Calibration of the purely \(t\)-dependent Black-Scholes implied volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Cites Work

• The pricing of options and corporate liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Title not available (Why is that?)
• Simultaneous statistical inference. 2nd ed
• Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory
• The calibration of the Heston stochastic volatility model using filtering and maximum likelihood methods
• Title not available (Why is that?)
• Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds

Cited In (3)

• Testing robustness in calibration of stochastic volatility models
• Specification tests of calibrated option pricing models
• Calibrating the Black-Derman-Toy model: some theoretical results

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