TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION

DOI10.1142/S0219024911006280zbMath1208.91169OpenAlexW2073066220MaRDI QIDQ3086258

Sergey Nadtochiy, René A. Carmona

Publication date: 30 March 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006280

zbMATH Keywords

market modelsimplied volatilitylocal volatilityHeath-Jarrow-Morton approachtangent Lévy models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Model uncertainty, recalibration, and the emergence of delta-vega hedging ⋮ ROBUST TRADING OF IMPLIED SKEW ⋮ CONDITIONAL DENSITY MODELS FOR ASSET PRICING ⋮ On the calibration of local jump-diffusion asset price models ⋮ On a Heath-Jarrow-Morton approach for stock options ⋮ Simulation of Implied Volatility Surfaces via Tangent Lévy Models

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