Testing robustness in calibration of stochastic volatility models

DOI10.1016/J.EJOR.2004.01.004zbMATH Open1066.91081OpenAlexW2006832608MaRDI QIDQ704071FDOQ704071

Authors: Maria Letizia Guerra, Laerte Sorini 

Publication date: 12 January 2005

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2004.01.004

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zbMATH Keywords

marketstochastic volatility modelsMonte Carlo procedure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

• Complete Models with Stochastic Volatility
• Title not available (Why is that?)

Cited In (11)

• Calibration of a path-dependent volatility model: empirical tests
• Quantile and expectile smoothing based on \(L_1\)-norm and \(L_2\)-norm fuzzy transforms
• Robustness of the Hobson-Rogers model with respect to the offset function
• The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options with uncertain volatility
• Specification tests of calibrated option pricing models
• RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL
• Calibration of GARCH models using concurrent accelerated random search
• Robust Numerical Calibration for Implied Volatility Expansion Models
• Robust calibration and arbitrage-free interpolation of SSVI slices
• Methodology for stochastic volatility process calibration application to the CAC 40 index
• Testing for EGARCH Against Stochastic Volatility Models

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