Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models


The adage "all models are wrong, but some are useful" certainly applies to finance: Models that have been empirically invalidated remain in widespread use. Often, model usage contradicts the model assumptions: As market prices... [ view full abstract ]


  1. Yu Feng (University of Technology Sydney)
  2. Ralph Rudd (University of Cape Town)
  3. Christopher Baker (University of Cape Town)
  4. Qaphela Mashalaba (University of Cape Town)
  5. Melusi Mavuso (University of Cape Town)
  6. Erik Schlogl (University of Technology Sydney)

Topic Areas

Calibration , Options , Robustness


TU-P-SY » Risk Dynamics (14:30 - Tuesday, 17th July, Synge)

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