Posted by
Kim Kuen Tang on
URL: http://quantlib.414.s1.nabble.com/local-volatility-surface-tp7862p7864.html
Klaus Spanderen schrieb:
Hi Klaus,
> The performance of the finite difference pricing engine might (will) be too
> slow for calibration purposes if you are using the backwards equation to
> price option by option. The forward equation of the problem (s. Fokker-Planck
> equation) allows you to price all calibration options at once and will give
> you a real performance boost.
>
>
thanks for the advice.
Using Fokker-Planck equation saves a lot of work for evaluating the cost
function and the gradient of the cost function.
I will integrate this in the calibration procedure. In the meantime a
clever target function needs to be chosen to ensure stability of the
calibration.
For example small change of the input implied volatility surface
shouldnt have big impact on the local volatility surface. And it
shouldnt produce values near to zero or negative.
Do you have some advice?
Best regards,
Kim Tang
> cheers
> Klaus
>
>
>
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