A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities (Q273640): Difference between revisions
From MaRDI portal
Changed an Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 02:52, 30 January 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities |
scientific article |
Statements
A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities (English)
0 references
22 April 2016
0 references
Bayesian inference
0 references
beta Markov random fields
0 references
exchange Metropolis Hastings
0 references
risk neutral measure
0 references
density calibration
0 references
distortion function
0 references