Calibration and Filtering of Exponential L\'evy Option Pricing Models

Autor:	Sioutis, Stavros J.
Rok vydání:	2017
Předmět:	Quantitative Finance - Pricing of Securities
Druh dokumentu:	Working Paper
Popis:	The accuracy of least squares calibration using option premiums and particle filtering of price data to find model parameters is determined. Derivative models using exponential L\'evy processes are calibrated using regularized weighted least squares with respect to the minimal entropy martingale measure. Sequential importance resampling is used for the Bayesian inference problem of time series parameter estimation with proposal distribution determined using extended Kalman filter. The algorithms converge to their respective global optima using a highly parallelizable statistical optimization approach using a grid of initial positions. Each of these methods should produce the same parameters. We investigate this assertion. Comment: 49 pages, 8 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1705.04780 Zobrazit plný text záznamu View this record from Arxiv