A calibration algorithm for simulation-based pricing models

DOI10.1093/IMAMAN/DPM020MaRDI QIDQ5432708zbMATH OpenOpenAlexFDO

Authors R. Mark Reesor, Donald L. McLeish

Publication date 18 December 2007

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imaman/dpm020

zbMATH Keywords

calibrationderivatives pricingexperimental designregressionsimulation

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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(3)

• Calibrating the model parameters in pricing using the trust region method
• Calibration of stochastic models for interest rate derivatives
• Calibration to American options: numerical investigation of the de-americanization method

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