A bootstrapping market implied moment matching calibration for models with time-dependent parameters (Q2517486)
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scientific article; zbMATH DE number 6475795
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| English | A bootstrapping market implied moment matching calibration for models with time-dependent parameters |
scientific article; zbMATH DE number 6475795 |
Statements
A bootstrapping market implied moment matching calibration for models with time-dependent parameters (English)
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26 August 2015
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market implied calibration
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moment matching
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bootstrapping calibration
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piecewise constant parameters
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term structure Lévy models
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0.8532000184059143
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0.76481693983078
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0.7358596324920654
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0.724648654460907
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0.7216322422027588
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