HISTORICAL BACKTESTING OF LOCAL VOLATILITY MODEL USING AUD/USD VANILLA OPTIONS

DOI10.1017/S1446181115000310zbMath1415.91287arXiv1406.2133MaRDI QIDQ5369447

Timothy G. Ling, Pavel V. Shevchenko

Publication date: 17 October 2017

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.2133

zbMATH Keywords

model validationimplied volatilitybacktestinglocal volatility modelforeign exchange options

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Semiparametric modeling of implied volatility.
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