Sökning: WFRF:(Szepessy Anders 1960 ) >
Local volatility ca...
Local volatility calibration with optimal control in a Hamiltonian framework
-
- Lindholm, Love, 1974- (författare)
- KTH,Numerisk analys, NA,None,Numerical analysis
-
- Szepessy, Anders, 1960- (författare)
- KTH,Numerisk analys, NA,None,Numerical analysis
-
(creator_code:org_t)
- Engelska.
- Relaterad länk:
-
https://kth.diva-por... (primary) (Raw object)
-
visa fler...
-
https://urn.kb.se/re...
-
visa färre...
Abstract
Ämnesord
Stäng
- We formulate the calibration of a local volatility function that makes a solution to Dupie's equation match market data as an optimal control problem for which optimality conditions are given by a Hamiltonian system. Regularization is added by mollifying the Hamiltonian functional in this system. We have direct access to the Jacobian matrix of the Hamiltonian system, and can therefore employ a Newton based method in the solving phase, whereas other studies tend to use gradient based methods or quasi Newton algorithms. We illustrate our method by calibrating a volatility function to market data on the Euro Stoxx 50 index and find that our algorithm is both accurate and robust.
Ämnesord
- NATURVETENSKAP -- Matematik -- Beräkningsmatematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Computational Mathematics (hsv//eng)
Nyckelord
- Finance
- local volatility
- calibration
- optimal control
- inverse problems
- Matematik
- Mathematics
Publikations- och innehållstyp
- vet (ämneskategori)
- ovr (ämneskategori)