WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS (Q3523563): Difference between revisions

@@ Property / author @@
-Marco Avellaneda
@@ Property / author: Marco Avellaneda / rank @@
-Normal rank
@@ Property / author @@
+Marco Avellaneda
@@ Property / author: Marco Avellaneda / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+L-BFGS-B
@@ Property / describes a project that uses: L-BFGS-B / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+L-BFGS
@@ Property / describes a project that uses: L-BFGS / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Minimum-Relative-Entropy Calibration of Asset-Pricing Models
+Normal rank
@@ Property / cites work @@
+Calibrating volatility surfaces via relative-entropy minimization
+Normal rank
@@ Property / cites work @@
+Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
+Normal rank
@@ Property / cites work @@
+A Risk-Neutral Stochastic Volatility Model
@@ Property / cites work: A Risk-Neutral Stochastic Volatility Model / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024901000882
+Normal rank
@@ Property / OpenAlex ID @@
+W4230395928
@@ Property / OpenAlex ID: W4230395928 / rank @@
+Normal rank