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• W3152072014 abstract "Derivative pricing models require calibration to market conditions in order to determine quantities such ashedging positions and the prices of other instruments. For stochastic models and/or complex derivativeswhose prices are not of an analytic form, prices must be computed via simulation and the calibration ismore difficult. A method to facilitate the calibration of simulation-based pricing models is proposed. Thealgorithm uses a statistically designed experiment to select the points at which simulations are performed.The method is quite general as it is independent of the stochastic model for the underlying and allows fordifferent objective functions that can incorporate information such as open interest and volume. Further-more, market prices from European- and/or American-style derivatives covering a range of strike pricesand maturities can be handled by this technique. Examples show the procedure is successful at calibratingwell-known asset pricing models to both simulated and market data.Keywords: derivatives pricing; calibration; simulation; experimental design; regression." @default.
• W3152072014 created "2021-04-13" @default.
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• W3152072014 date "2007-01-01" @default.
• W3152072014 modified "2023-09-27" @default.
• W3152072014 title "A calibration algorithm for simulation-based pricing models" @default.
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• W3152072014 hasPublicationYear "2007" @default.
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