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

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

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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