An option pricing model calibration using algorithmic differentiation

Computer Science

• Option Pricing 100%
• Model Calibration 100%
• Models 50%
• Application 50%
• Computing 50%
• Accuracy 50%
• Mathematical Optimization 50%
• Monte Carlo Estimator 50%
• Financial Product 50%
• Payoff Function 50%

Mathematics

• Option Pricing 100%
• Algorithmic Differentiation 100%
• Calibration Model 100%
• Efficiency 50%
• Algorithm 50%
• Prediction 50%
• Monte Carlo 50%
• Stochastic Volatility Model 50%
• Payoff Function 50%

Economics, Econometrics and Finance

• Pricing 100%
• Efficiency 50%
• Benefits 50%
• Investors 50%
• Volatility 50%
• Future Market 50%
• Estimation Theory 50%