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Simultaneous Calibration and Quadratic Hedging of Options

Lindström, Erik LU and Jingyi, Guo (2013) 8th BMRC - QASS Conference on Macro and Financial Economics In [Host publication title missing]
Abstract
We derive a sequential algorithm for simultaneous calibration and quadratic hedging of options.

It can be applied to any model from which we can simulate paths and price options. The quadratic

hedging comes at no extra cost!

We have calibrated the Bates and NIG-CIR model to S&P 500 index options in order to evaluate

various hedging strategies (delta, quadratic), clearly indicating the advantage of quadratic hedging

over delta hedging.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Chapter in Book/Report/Conference proceeding
publication status
published
subject
keywords
Option Valuation, Calibration, Non-linear Kalman filter, Quadratic hedging
in
[Host publication title missing]
publisher
BMRC-QASS
conference name
8th BMRC - QASS Conference on Macro and Financial Economics
language
English
LU publication?
yes
id
6043b763-e6b8-40bb-9cb9-948eda6e6add (old id 3813762)
alternative location
http://www.qass.org.uk/MINE/2013_pdf_files/LINDSTROM_2013.pdf
date added to LUP
2014-02-05 16:44:28
date last changed
2017-02-08 13:39:16
@inproceedings{6043b763-e6b8-40bb-9cb9-948eda6e6add,
  abstract     = {We derive a sequential algorithm for simultaneous calibration and quadratic hedging of options.<br/><br>
It can be applied to any model from which we can simulate paths and price options. The quadratic<br/><br>
hedging comes at no extra cost!<br/><br>
We have calibrated the Bates and NIG-CIR model to S&amp;P 500 index options in order to evaluate<br/><br>
various hedging strategies (delta, quadratic), clearly indicating the advantage of quadratic hedging<br/><br>
over delta hedging.},
  author       = {Lindström, Erik and Jingyi, Guo},
  booktitle    = {[Host publication title missing]},
  keyword      = {Option Valuation,Calibration,Non-linear Kalman filter,Quadratic hedging},
  language     = {eng},
  publisher    = {BMRC-QASS},
  title        = {Simultaneous Calibration and Quadratic Hedging of Options},
  year         = {2013},
}