1 janvier 2008
Rivo Randrianarivony et al., « Calibrage d'options pour trois modèles mixtes diffusions et sauts. », HAL-SHS : économie et finance, ID : 10670/1.cc7nbx
This article presents calibration of European options using a non-Gaussian setting. In particular, the authors consider three jump diffusion models, the classical Merton [1976] and Kou [2002] processes and another one which extends Kou to the case of multiple jumps. The pricing methodology rests on a very efficient Fourier framework, which permits calibrations in a short computational time. This is particularly advantageous in the multiple jump case. This article is an invitation to use non-Gaussian models in option pricing and calibration.