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Reports (Research Report) Year : 2003

Empirical semi-groups and calibration


We give a model free calibration algorithm based on a finite element type approach. Although no probabilistic model is a priori needed it turns out that the setting of our problem automatically produces a Markov dynamics for the underlying stock. Markovianity is our only a priori assumption. We test our algorithm using syntethic data produced by Dupire's model with several types of local volatility. In order to test the flexibility of our algorithm. We also consider data produced by Heston's model which is a stochastic volatility model which is no more Markovian and does not enter in our frame.
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Dates and versions

inria-00071710 , version 1 (23-05-2006)


  • HAL Id : inria-00071710 , version 1


Vlad Bally, Emmanuel Temam. Empirical semi-groups and calibration. [Research Report] RR-4873, INRIA. 2003. ⟨inria-00071710⟩
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