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

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dc.contributor.author Chiarella, C
dc.contributor.author Craddock, M
dc.contributor.author El-Hassan, N
dc.date.accessioned 2009-12-21T02:36:38Z
dc.date.issued 2003-12
dc.identifier.citation Computational Economics, 2003, 22 (2-3), pp. 113 - 138
dc.identifier.issn 0927-7099
dc.identifier.other C1 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.
dc.language eng
dc.relation.isbasedon 10.1023/A:1026177612385
dc.title An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models
dc.type Journal Article
dc.parent Computational Economics
dc.journal.volume 2-3
dc.journal.volume 22
dc.journal.number 2-3 en_US
dc.publocation Dordrecht en_US
dc.identifier.startpage 113 en_US
dc.identifier.endpage 138 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1403 Econometrics
dc.personcode 970661
dc.personcode 980626
dc.personcode 716350
dc.percentage 100 en_US
dc.classification.name Econometrics en_US
dc.classification.type FOR-08 en_US
dc.description.keywords calibration
dc.description.keywords fundamental solutions of PDE
dc.description.keywords integral equations
dc.description.keywords inverse problems
pubs.embargo.period Not known
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
pubs.organisational-group /University of Technology Sydney/Faculty of Science
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc true
utslib.collection.history Closed (ID: 3)
utslib.collection.history School of Mathematical Sciences (ID: 340)
utslib.collection.history School of Mathematical Sciences (ID: 340)


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