Pages that link to "Item:Q4541541"
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The following pages link to Calibrating volatility surfaces via relative-entropy minimization (Q4541541):
Displaying 50 items.
- Convex regularization of local volatility models from option prices: convergence analysis and rates (Q412709) (← links)
- Hedging with small uncertainty aversion (Q503389) (← links)
- A comparison of single factor Markov-functional and multi factor market models (Q541589) (← links)
- Estimation of risk-neutral density surfaces (Q645506) (← links)
- Deviations bounds and conditional principles for thin sets (Q867848) (← links)
- Relative entropy minimizing noisy non-linear neural network to approximate stochastic processes (Q889265) (← links)
- Computation and analysis for a constrained entropy optimization problem in finance (Q952089) (← links)
- Estimation of the Brownian dimension of a continuous Itô process (Q1002566) (← links)
- Sequential quadratic programming method for volatility estimation in option pricing (Q1014041) (← links)
- Calibration of stochastic volatility models: a Tikhonov regularization approach (Q1656762) (← links)
- A maximum (non-extensive) entropy approach to equity options bid-ask spread (Q1673012) (← links)
- Exact maximum-entropy estimation with Feynman diagrams (Q1753247) (← links)
- Maximum entropy distributions inferred from option portfolios on an asset (Q1761445) (← links)
- Incorporating views on marginal distributions in the calibration of risk models (Q1785320) (← links)
- Implied volatility and state price density estimation: arbitrage analysis (Q1789634) (← links)
- Recovery of local volatility for financial assets with mean-reverting price processes (Q2001544) (← links)
- Numerical techniques for determining implied volatility in option pricing (Q2104087) (← links)
- Analysis of a micro-macro acceleration method with minimum relative entropy moment matching (Q2175337) (← links)
- Path dependent optimal transport and model calibration on exotic derivatives (Q2240848) (← links)
- Maximum entropy estimates for risk-neutral probability measures with non-strictly-convex data (Q2247928) (← links)
- Recovery of time dependent volatility coefficient by linearization (Q2438347) (← links)
- Static versus dynamic hedges: an empirical comparison for barrier options (Q2466425) (← links)
- Some analysis of Tikhonov regularization for the inverse problem of option pricing in the price-dependent case (Q2492071) (← links)
- Robust risk measurement and model risk (Q2879011) (← links)
- Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization (Q2879013) (← links)
- CONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATION (Q2970321) (← links)
- CONFRONTING MODEL MISSPECIFICATION IN FINANCE: TRACTABLE COLLECTIONS OF SCENARIO PROBABILITY MEASURES FOR ROBUST FINANCIAL OPTIMIZATION PROBLEMS (Q3022031) (← links)
- THE ENTROPY THEORY OF BOND OPTION PRICING (Q3022049) (← links)
- VOLATILITY SMILE BY MULTILEVEL LEAST SQUARE (Q3022068) (← links)
- Minimization of the entropy for a mixture of standard and fractional Brownian motions (Q3387880) (← links)
- Arbitrage-free smoothing of the implied volatility surface (Q3404099) (← links)
- Ill-posedness versus ill-conditioning–an example from inverse option pricing (Q3497834) (← links)
- A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING (Q3521602) (← links)
- MEAN-REVERTING STOCHASTIC VOLATILITY (Q3523547) (← links)
- IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY (Q3523562) (← links)
- WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS (Q3523563) (← links)
- VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY (Q3523580) (← links)
- ON THE CONSISTENCY OF THE DETERMINISTIC LOCAL VOLATILITY FUNCTION MODEL ('IMPLIED TREE') (Q3523587) (← links)
- A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE (Q3606399) (← links)
- Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility (Q3636735) (← links)
- An introduction to option pricing and the mathematical theory of risk (Q4429201) (← links)
- Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability (Q4548071) (← links)
- No-arbitrage bounds for the forward smile given marginals (Q4555138) (← links)
- A Family of Maximum Entropy Densities Matching Call Option Prices (Q4585001) (← links)
- Preposterior analysis for option pricing (Q4610253) (← links)
- Delta-hedging vega risk? (Q4610265) (← links)
- Option pricing and hedging with minimum local expected shortfall (Q4610270) (← links)
- Asymptotics and calibration of local volatility models (Q4646770) (← links)
- Recovery of volatility coefficient by linearization (Q4646787) (← links)
- A new well-posed algorithm to recover implied local volatility (Q4647290) (← links)
