Module fang_oost_option::option_calibration [−][src]
Solves the inverse problem: find the parameters which most closely appoximate the option prices available in the market. Requires specification of a characeteristic function. Some useful characteristic functions are provided in the cf_functions repository. This module works by fitting a monotonic spline to transformed option data from the market. Then the empirical characteristic function is estimated from the spline. A mean squared optimization problem is then solved in complex space between the analytical characteristic function and the empirical characteristic function. For more documentation and results, see fang_oost_cal_charts. Currently this module only works on a single maturity at atime. It does not calibrate across all maturities simultanously.
Structs
OptionStats |
Functions
adjust_domain |
Returns transformed strikes. Used to transform the option prices for spline fitting. |
generate_fo_estimate |
Returns iterator over discrete empirical characteristic function |
get_option_spline |
Returns spline function |
max_zero_or_number | |
obj_fn_arr |
Returns function which computes the mean squared error between the empirical and analytical characteristic functions for a vector of parameters. |
transform_price |
Returns scaled prices |