Simultaneous Calibration and Quadratic Hedging of Options
(2013) 8th BMRC - QASS Conference on Macro and Financial Economics- 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:
https://lup.lub.lu.se/record/3813762
- author
- Lindström, Erik LU and Jingyi, Guo
- organization
- publishing date
- 2013
- type
- Chapter in Book/Report/Conference proceeding
- publication status
- published
- subject
- keywords
- Option Valuation, Calibration, Non-linear Kalman filter, Quadratic hedging
- host publication
- [Host publication title missing]
- publisher
- BMRC-QASS
- conference name
- 8th BMRC - QASS Conference on Macro and Financial Economics
- conference dates
- 2013-05-23
- 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
- 2016-04-04 11:59:26
- date last changed
- 2019-03-08 03:24:09
@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&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]}}, keywords = {{Option Valuation; Calibration; Non-linear Kalman filter; Quadratic hedging}}, language = {{eng}}, publisher = {{BMRC-QASS}}, title = {{Simultaneous Calibration and Quadratic Hedging of Options}}, url = {{http://www.qass.org.uk/MINE/2013_pdf_files/LINDSTROM_2013.pdf}}, year = {{2013}}, }