A calibration algorithm for simulation-based pricing models
RM Reesor, DL McLeish - IMA Journal of Management …, 2007 - ieeexplore.ieee.org
Derivative pricing models require calibration to market conditions in order to determine quantities such as hedging positions and the prices of other instruments. For stochastic models …
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Derivative pricing models require calibration to market conditions in order to determine quantities such as hedging positions and the prices of other instruments. For stochastic models …