Testing robustness in calibration of stochastic volatility models

DOI10.1016/J.EJOR.2004.01.004MaRDI QIDQ704071zbMATH OpenOpenAlexFDO

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)

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

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