267
Views
9
CrossRef citations to date
0
Altmetric
Research Papers

A moment matching market implied calibration

&
Pages 1359-1373 | Received 06 Mar 2012, Accepted 04 Apr 2013, Published online: 22 Jul 2013

References

  • Bakshi , G and Madan , DB . 2000 . Spanning and derivative-security valuation . J. Financ. Econ. , 55 : 205 – 238 .
  • Bakshi , G , Kapadia , N and Madan , DB . 2003 . Stock return characteristics, skew laws, and the differential pricing of individual equity options . Rev. Financ. Stud. , 16 ( 1 ) : 101 – 143 .
  • Breeden, D. and Litzenberger, R., Prices of state contingent claims implicit in option prices. J. Business, 1978, 51(6), 621–651.
  • Carr , P and Madan , DB . 1998 . Option valuation using the fast Fourier transform . J. Comput. Finance , 2 : 61 – 73 .
  • Carr, P. and Madan, D.B., Towards a theory of volatility trading. In Option Pricing, Interest Rates and Risk Management, edited by J. Cvitanic, E. Jouini and M. Musiela, pp. 458–476, 2001 (Cambridge University Press: Cambridge).
  • Cont, R. and Tankov, P., Non-parametric calibration of jump-diffusion option pricing models. J. Comput. Finance, 2004, 7(3), 1–49.
  • Cont , R and Tankov , P . 2006 . Retrieving Lévy processes from option prices: Regularization of an ill-posed inverse problem . SIAM J. Control Optimiz. , 45 ( 1 ) : 1 – 25 .
  • Chicago Board Options Exchange, VIX: CBOE volatility index. Working paper, 2003.
  • Chicago Board Options Exchange, The CBOE skew index - SKEW. Working paper, 2010.
  • Guillaume , F and Schoutens , W . 2012 . Calibration risk: Illustrating the impact of calibration risk under the Heston model . Rev. Deriv. Res. , 15 : 57 – 79 .
  • Konikov , M and Madan , DB . 2002 . Option pricing using Variance Gamma Markov chains . Rev. Deriv. Res. , 5 : 81 – 115 .
  • Schoutens, W., Moment swaps. Quant. Finance, 2005, 5(6), 525–530.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.