Melusi Mavuso

University of Cape Town (UCT) - The African Institute of Financial Markets and Risk Management

Leslie Commerce Building

Rondebosch

Cape Town, Western Cape 7700

South Africa

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Scholarly Papers (1)

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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
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 University of Technology Sydney (UTS), Quantitative Finance Research Centre
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Abstract:

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