Analysis of Calibration Risk for Exotic Options through a Resampling Technique


Option pricing models are calibrated to market data of plain vanilla options by minimization of an error functional. In this context, calibration risk arises due to the estimation error of calibrated model parameters and... [ view full abstract ]


  1. Marina Marena (Universita di Torino)
  2. Gianluca Fusai (Universita del Piemonte Orientale)
  3. Marco Materazzi (Source, London, UK)

Topic Areas

Calibration , Options , Risk Management


TU-P-UI » American, Asian and Exotic Options (14:30 - Tuesday, 17th July, Ui Chadhain)

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