Fiche du document
1 janvier 2008
- handle: 10670/1.tuzo68
- hal: hal-02312464
Sujets proches
Finance, commerce, confiscations, etc Calibradores Calibres Estado, Teoría del Teoría del Estado Spectateurs Public Auditoire Assistance (public) Visiteurs Fréquentation Audience Calibrage Ressources financières Moyens financiers Financement Milieux financiers Finance administrationCiter ce document
Rivo Randrianarivony et al., « Calibrage d'options pour trois modèles mixtes diffusions et sauts. », HAL-SHS : droit et gestion, ID : 10670/1.tuzo68
Métriques
Partage / Export
Résumé
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.