Limiting distributions for minimum relative entropy calibration

DOI10.1239/JAP/1077134666zbMath1053.62011OpenAlexW1516459690MaRDI QIDQ4819434

Łukasz Kruk

Publication date: 24 September 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1077134666

zbMATH Keywords

weak convergenceoption pricingmodel calibrationKullback-Leibler distanceI-projectionminimum relative entropyMonte Carlo calibrationprior measurestability of calibration

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Measures of information, entropy (94A17) Statistical aspects of information-theoretic topics (62B10)

Related Items (2)

Analysis of a micro-macro acceleration method with minimum relative entropy moment matching ⋮ Empirical Measures, Geodesic Lengths, and a Variational Formula in First-Passage Percolation

Cites Work

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• WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
• Numerical Treatment of Stochastic Differential Equations
• Calibrating volatility surfaces via relative-entropy minimization
• Principles for modelling financial markets

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