Calibration to FX triangles of the 4/2 model under the benchmark approach
| Autor: | Eckhard Platen, Alessandro Gnoatto, Martino Grasselli |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2022 |
| Předmět: |
050208 finance
Stochastic volatility Computer science 05 social sciences Benchmark approach 01 Mathematical Sciences 15 Commerce Management Tourism and Services Forex Fourier inversion 01 natural sciences Risk neutral 010104 statistics & probability Benchmark (surveying) 0502 economics and business Line (geometry) Calibration Econometrics 0101 mathematics General Economics Econometrics and Finance Foreign exchange market Finance Economic Theory Public finance |
| Popis: | We calibrate a novel multifactor stochastic volatility model that includes as special cases the Heston-based model of De Col et al. (J Bank Finance 37(10):3799–3818, 2013) and the 3/2-based model of Baldeaux et al. (J Bank Finance 53:34–48, 2015). Using a dataset on vanilla option quotes in a triangle of currencies, we find that the risk neutral approach typically fails for the calibrated model, in line with the results of Baldeaux et al. (2015). |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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