Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models

We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a given point in time (calibration error) and the model risk due to the recalibration of model parameters (in contradiction to the model assumptions). In this context, we use relative e...

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Autors principals:	Yu Feng, Ralph Rudd, Christopher Baker, Qaphela Mashalaba, Melusi Mavuso, Erik Schlögl
Format:	Artigo
Idioma:	Inglês
Publicat:	MDPI AG 2021-01-01
Col·lecció:	Risks
Matèries:	model risk option pricing relative entropy model calibration stochastic volatility
Accés en línia:	https://www.mdpi.com/2227-9091/9/1/13
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