An Empirical Method for Calibrating LSV Mixing Weight

5 Pages Posted: 25 Apr 2017

Date Written: April 11, 2017

Abstract

In this discussion paper, we propose a method for calibration mixing weight of Local Stochastic Volatility model (LSV Hereafter). We also propose a method of computing backbone of given LSV in the context of PDE.

Keywords: Local Stochastic Volatility Models, Calibration, Empirical Method

JEL Classification: G13

Suggested Citation

Kuang, Yan, An Empirical Method for Calibrating LSV Mixing Weight (April 11, 2017). Available at SSRN: https://ssrn.com/abstract=2958036 or http://dx.doi.org/10.2139/ssrn.2958036

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