An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models

Chiarella, C; Craddock, M; El-Hassan, N

An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models

Chiarella, C Craddock, M El-Hassan, N

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Publication Type:: Journal Article
Citation:: Computational Economics, 2003, 22 (2-3), pp. 113 - 138
Issue Date:: 2003-12-01

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Field	Value	Language
dc.contributor.author	Chiarella, C	en_US
dc.contributor.author	Craddock, M	en_US
dc.contributor.author	El-Hassan, N	en_US
dc.date.issued	2003-12-01	en_US
dc.identifier.citation	Computational Economics, 2003, 22 (2-3), pp. 113 - 138	en_US
dc.identifier.issn	0927-7099	en_US
dc.identifier.uri	http://hdl.handle.net/10453/5091
dc.description.abstract	We analyse the Bouchouev integral equation for the deterministic volatility function in the Black-Scholes option pricing model. We areable to reduce Bouchouev's original triple integral equation to a single integral equation and describe its numerical solution. Moreover we show empirically that the most complex term in the equation may often be safely ignored for the purposes of numerical calculations. We present a selection of numerical examples indicating the range of time values for which we would expect the equation to be valid. © 2003 Kluwer Academic Publishers.	en_US
dc.relation	http://purl.org/au-research/grants/arc/A00103854
dc.relation.ispartof	Computational Economics	en_US
dc.relation.isbasedon	10.1023/A:1026177612385	en_US
dc.subject.classification	Economics	en_US
dc.title	An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models	en_US
dc.type	Journal Article
utslib.citation.volume	2-3	en_US
utslib.citation.volume	22	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	1499 Other Economics	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	2-3	en_US
pubs.publication-status	Published	en_US
pubs.volume	22	en_US

Abstract:

We analyse the Bouchouev integral equation for the deterministic volatility function in the Black-Scholes option pricing model. We areable to reduce Bouchouev's original triple integral equation to a single integral equation and describe its numerical solution. Moreover we show empirically that the most complex term in the equation may often be safely ignored for the purposes of numerical calculations. We present a selection of numerical examples indicating the range of time values for which we would expect the equation to be valid. © 2003 Kluwer Academic Publishers.

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http://hdl.handle.net/10453/5091