Calibration risk: Illustrating the impact of calibration risk under the Heston model
Abstract It is already well documented that model risk is an important issue regarding the pricing of exotics (see Schoutens et al., in A perfect calibration! Now what?, Wilmott Magazine, March 2004: pp 66–78, 2004). Arguments have been made to put this into the perspective of bid-ask pricing using...
Ausführliche Beschreibung
Autor*in: |
Guillaume, Florence [verfasserIn] |
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Format: |
Artikel |
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Sprache: |
Englisch |
Erschienen: |
2011 |
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Schlagwörter: |
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Anmerkung: |
© The Author(s) 2011 |
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Übergeordnetes Werk: |
Enthalten in: Review of derivatives research - Springer US, 1996, 15(2011), 1 vom: 08. Juli, Seite 57-79 |
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Übergeordnetes Werk: |
volume:15 ; year:2011 ; number:1 ; day:08 ; month:07 ; pages:57-79 |
Links: |
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DOI / URN: |
10.1007/s11147-011-9069-2 |
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Katalog-ID: |
OLC207273472X |
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10.1007/s11147-011-9069-2 doi (DE-627)OLC207273472X (DE-He213)s11147-011-9069-2-p DE-627 ger DE-627 rakwb eng 330 VZ 3,2 ssgn Guillaume, Florence verfasserin aut Calibration risk: Illustrating the impact of calibration risk under the Heston model 2011 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s) 2011 Abstract It is already well documented that model risk is an important issue regarding the pricing of exotics (see Schoutens et al., in A perfect calibration! Now what?, Wilmott Magazine, March 2004: pp 66–78, 2004). Arguments have been made to put this into the perspective of bid-ask pricing using the theory of conic finance and pricing to acceptability (Cherny and Madan Review of Financial Studies, 22: 2571–2606, 2009). In this paper we show also the presence and importance of calibration risk. More particularly, we point out that a variety of plausible calibration methods lead again to serious price differences for exotics and different distributions of the P&L of the delta-hedging strategy. This is illustrated under the popular Heston stochastic volatility model, which is used among practitioners to price all kinds of exotic and structured products. This paper shows that it is prudent to take some additional safety margin into account for the pricing of these structured notes. Heston model Calibration Model risk Calibration risk Exotic options Schoutens, Wim aut Enthalten in Review of derivatives research Springer US, 1996 15(2011), 1 vom: 08. Juli, Seite 57-79 (DE-627)231970439 (DE-600)1387516-4 (DE-576)079322344 1380-6645 nnns volume:15 year:2011 number:1 day:08 month:07 pages:57-79 https://doi.org/10.1007/s11147-011-9069-2 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_2007 GBV_ILN_4029 AR 15 2011 1 08 07 57-79 |
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10.1007/s11147-011-9069-2 doi (DE-627)OLC207273472X (DE-He213)s11147-011-9069-2-p DE-627 ger DE-627 rakwb eng 330 VZ 3,2 ssgn Guillaume, Florence verfasserin aut Calibration risk: Illustrating the impact of calibration risk under the Heston model 2011 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s) 2011 Abstract It is already well documented that model risk is an important issue regarding the pricing of exotics (see Schoutens et al., in A perfect calibration! Now what?, Wilmott Magazine, March 2004: pp 66–78, 2004). Arguments have been made to put this into the perspective of bid-ask pricing using the theory of conic finance and pricing to acceptability (Cherny and Madan Review of Financial Studies, 22: 2571–2606, 2009). In this paper we show also the presence and importance of calibration risk. More particularly, we point out that a variety of plausible calibration methods lead again to serious price differences for exotics and different distributions of the P&L of the delta-hedging strategy. This is illustrated under the popular Heston stochastic volatility model, which is used among practitioners to price all kinds of exotic and structured products. This paper shows that it is prudent to take some additional safety margin into account for the pricing of these structured notes. Heston model Calibration Model risk Calibration risk Exotic options Schoutens, Wim aut Enthalten in Review of derivatives research Springer US, 1996 15(2011), 1 vom: 08. Juli, Seite 57-79 (DE-627)231970439 (DE-600)1387516-4 (DE-576)079322344 1380-6645 nnns volume:15 year:2011 number:1 day:08 month:07 pages:57-79 https://doi.org/10.1007/s11147-011-9069-2 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_2007 GBV_ILN_4029 AR 15 2011 1 08 07 57-79 |
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10.1007/s11147-011-9069-2 doi (DE-627)OLC207273472X (DE-He213)s11147-011-9069-2-p DE-627 ger DE-627 rakwb eng 330 VZ 3,2 ssgn Guillaume, Florence verfasserin aut Calibration risk: Illustrating the impact of calibration risk under the Heston model 2011 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s) 2011 Abstract It is already well documented that model risk is an important issue regarding the pricing of exotics (see Schoutens et al., in A perfect calibration! Now what?, Wilmott Magazine, March 2004: pp 66–78, 2004). Arguments have been made to put this into the perspective of bid-ask pricing using the theory of conic finance and pricing to acceptability (Cherny and Madan Review of Financial Studies, 22: 2571–2606, 2009). In this paper we show also the presence and importance of calibration risk. More particularly, we point out that a variety of plausible calibration methods lead again to serious price differences for exotics and different distributions of the P&L of the delta-hedging strategy. This is illustrated under the popular Heston stochastic volatility model, which is used among practitioners to price all kinds of exotic and structured products. This paper shows that it is prudent to take some additional safety margin into account for the pricing of these structured notes. Heston model Calibration Model risk Calibration risk Exotic options Schoutens, Wim aut Enthalten in Review of derivatives research Springer US, 1996 15(2011), 1 vom: 08. Juli, Seite 57-79 (DE-627)231970439 (DE-600)1387516-4 (DE-576)079322344 1380-6645 nnns volume:15 year:2011 number:1 day:08 month:07 pages:57-79 https://doi.org/10.1007/s11147-011-9069-2 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_2007 GBV_ILN_4029 AR 15 2011 1 08 07 57-79 |
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Abstract It is already well documented that model risk is an important issue regarding the pricing of exotics (see Schoutens et al., in A perfect calibration! Now what?, Wilmott Magazine, March 2004: pp 66–78, 2004). Arguments have been made to put this into the perspective of bid-ask pricing using the theory of conic finance and pricing to acceptability (Cherny and Madan Review of Financial Studies, 22: 2571–2606, 2009). In this paper we show also the presence and importance of calibration risk. More particularly, we point out that a variety of plausible calibration methods lead again to serious price differences for exotics and different distributions of the P&L of the delta-hedging strategy. This is illustrated under the popular Heston stochastic volatility model, which is used among practitioners to price all kinds of exotic and structured products. This paper shows that it is prudent to take some additional safety margin into account for the pricing of these structured notes. © The Author(s) 2011 |
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Abstract It is already well documented that model risk is an important issue regarding the pricing of exotics (see Schoutens et al., in A perfect calibration! Now what?, Wilmott Magazine, March 2004: pp 66–78, 2004). Arguments have been made to put this into the perspective of bid-ask pricing using the theory of conic finance and pricing to acceptability (Cherny and Madan Review of Financial Studies, 22: 2571–2606, 2009). In this paper we show also the presence and importance of calibration risk. More particularly, we point out that a variety of plausible calibration methods lead again to serious price differences for exotics and different distributions of the P&L of the delta-hedging strategy. This is illustrated under the popular Heston stochastic volatility model, which is used among practitioners to price all kinds of exotic and structured products. This paper shows that it is prudent to take some additional safety margin into account for the pricing of these structured notes. © The Author(s) 2011 |
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Abstract It is already well documented that model risk is an important issue regarding the pricing of exotics (see Schoutens et al., in A perfect calibration! Now what?, Wilmott Magazine, March 2004: pp 66–78, 2004). Arguments have been made to put this into the perspective of bid-ask pricing using the theory of conic finance and pricing to acceptability (Cherny and Madan Review of Financial Studies, 22: 2571–2606, 2009). In this paper we show also the presence and importance of calibration risk. More particularly, we point out that a variety of plausible calibration methods lead again to serious price differences for exotics and different distributions of the P&L of the delta-hedging strategy. This is illustrated under the popular Heston stochastic volatility model, which is used among practitioners to price all kinds of exotic and structured products. This paper shows that it is prudent to take some additional safety margin into account for the pricing of these structured notes. © The Author(s) 2011 |
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<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">OLC207273472X</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20230504022535.0</controlfield><controlfield tag="007">tu</controlfield><controlfield tag="008">200820s2011 xx ||||| 00| ||eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1007/s11147-011-9069-2</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)OLC207273472X</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-He213)s11147-011-9069-2-p</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">330</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">3,2</subfield><subfield code="2">ssgn</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Guillaume, Florence</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Calibration risk: Illustrating the impact of calibration risk under the Heston model</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2011</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">ohne Hilfsmittel zu benutzen</subfield><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Band</subfield><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">© The Author(s) 2011</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">Abstract It is already well documented that model risk is an important issue regarding the pricing of exotics (see Schoutens et al., in A perfect calibration! Now what?, Wilmott Magazine, March 2004: pp 66–78, 2004). Arguments have been made to put this into the perspective of bid-ask pricing using the theory of conic finance and pricing to acceptability (Cherny and Madan Review of Financial Studies, 22: 2571–2606, 2009). In this paper we show also the presence and importance of calibration risk. More particularly, we point out that a variety of plausible calibration methods lead again to serious price differences for exotics and different distributions of the P&L of the delta-hedging strategy. This is illustrated under the popular Heston stochastic volatility model, which is used among practitioners to price all kinds of exotic and structured products. 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