A Smiling GARCH
Coauthors: Mariano Biondelli, Enrico Michelotti, Marco Tarenghi
We calibrate a GARCH model to the volatility surface by combining Monte Carlo simulation with a local optimization scheme.
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Coauthors: Mariano Biondelli, Enrico Michelotti, Marco Tarenghi
We calibrate a GARCH model to the volatility surface by combining Monte Carlo simulation with a local optimization scheme.
Files