| Category: Matlab |
View Full Details
|
 Piterbarg's paper - calibration of instantaneous skew |
| Submitter: vanna |
Date: 2008/11/28 |
|
|
Description:
This file demonstrates how instantaneous values are backed out from everage parameters. as mentioned in paper "Time to Smile" by Piterbarg, the avergae or effective parameters are calibrated to market prices of options. Using the formulas for effective parameters, the instantaeous parameters are then backed out in an iterative way. Input parameters are taken from "Test results" section of Pierbarg's paper. Following is output of this program:
0.00000 1.00000 1.00000
1.00000 0.85000 0.84583
2.00000 0.71000 0.70672
3.00000 0.56000 0.55303
4.00000 0.41000 0.40841
5.00000 0.26000 0.24904
6.00000 0.10000 0.10079
7.00000 -0.05000 -0.06346
1st column : expiry 2nd column : instaneous skew mentioned in paper 3rd column : calibrated/calculated value of instanaeous skew
Got a question or problem with this link? Just enter your message and click on submit. No registration is required.
|
570  0 bytes  Octave Matlab  http://www.quantcode.com/ |
|
Discuss this file. Just enter your message and click on submit. No registration is required.
