# Questions tagged [calibration]

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### Calibration Hull-White

This is more a conceptual question around calibration. My objective is to calibrate a 1-factor Hull White model, and my question relates to calibrating a and sigma (both constants) to swaptions. Let's ...
159 views

### 1 Factor Hull And White Swaption Calibration

I'm trying to calibrate a Hull and White model with constant volatility, mean reversion and theta such that the model can reproduce the initial Term Structure. I'm using this python code adapted from &...
53 views

### Explicit expression for option prices in SABR?

I am trying to get a grip of the current state of research regarding option pricing in the SABR model. Am I correct in that, so far, there is no known general formula for the option price in the SABR ...
73 views

### Derivation of $u=e^{\sigma\sqrt{dt}}$ and $d=e^{-\sigma\sqrt{dt}}$

Anyone could provide me a proof of how, starting from $\frac{dS_T}{S_t}\sim \operatorname{N}(\mu dt,\sigma^2 dt)$ with $p:=\frac{e^{rdt}-d}{u-d}$, we can obtain the parameters $u$ and $d$ as from ...
113 views

### Hull-White Monte Carlo simulation - mean reversion function

Quite new to implementing Hull white model in Monte Carlo simulation, hope to get help for 1. how to get the function $\theta$ in the following formula (the function used to match initial term ...
35 views

### Carr-madan vs COS method vs other methods

Hey during calibration we have to calculate option prices very fast. The most popular method was developed by Carr-Madan, but COS method also is very popular. The problem is for example with Variance ...
88 views

### Are Levy models useless after the financial crisis of 2008?

I calibrated (by minimizing RMSE) the Black Scholes, VG and CGMY models to data from 2005 (before the crisis) and to data from 2020. The results surprised me. I do not understand why for data from ...
41 views

### Carr and Madan algorithm to avoid arbitrage in oprion prices

Hey in this text (https://arxiv.org/abs/1107.1834) in section 7 is described an algorithm which can delete options which generate an arbitrage. $C_ij$ is call option price with strike $K_i$ and ...
39 views

### How to prepare data for calibration

I want to calibrate different models by minimizing RMSE. When I use data from Schoutens (2003) everything is OK i.e I get reasonable parameters. The problem appears when I try to calibrate models to ...
15 views

### Call options data from 18 April 2002 (Schoutens 2003)

Hey I would like to calibrate different models to call options prices from 18 April 2002. Schoutens used this data for calibration but unfortunately he write only months (screen). What can i do in ...
30 views

### Regularized model Calibration - Penalty term

Hey I want to calibrate model by minimizing $$\arg \min_{\theta}\frac{1}{n}\sum(\text{market price}-\text{model price}(\theta))^2$$ where $n$ is the number of options. This is ill-posed problem and I ...