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

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)

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Cites Work

• scientific article; zbMATH DE number 274379 (Why is no real title available?)
• Complete Models with Stochastic Volatility

Cited In (13)

• 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 and sensitivity analyses of rough Volterra stochastic volatility models
• 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
• Robustness of Hilbert space-valued stochastic volatility 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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