Christopher Baker

The African Institute for Financial Markets and Risk Management (AIFMRM), University of Cape Town

3rd Floor, leslie Commerce Building

Engineering Mall, Upper Campus

Cape Town, Western Cape 8000

South Africa

  • The African Institute for Financial Markets and Risk Management (AIFMRM), University of Cape Town

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Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models

Number of pages: 16 Posted: 11 Nov 2018
Yu Feng, Ralph Rudd, Christopher Baker, Qaphela Mashalaba, Melusi Mavuso and Erik Schlögl
University of Technology Sydney (UTS) - Faculty of Business, The African Institute of Financial Markets and Risk Management, The African Institute for Financial Markets and Risk Management (AIFMRM), University of Cape Town, African Institute of Financial Markets and Risk Management, University of Cape Town (UCT) - The African Institute of Financial Markets and Risk Management and The University of Technology Sydney - School of Mathematical and Physical Sciences
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Abstract:

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Model Risk, Relative Entropy, Option Pricing, Model Calibration, Model Recalibration, Stochastic Volatility