A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities (Q273640)
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scientific article; zbMATH DE number 6572242
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| English | A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities |
scientific article; zbMATH DE number 6572242 |
Statements
A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities (English)
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22 April 2016
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Bayesian inference
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beta Markov random fields
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exchange Metropolis Hastings
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risk neutral measure
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density calibration
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distortion function
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0.745035707950592
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0.7430019378662109
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0.7380194664001465
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0.7270166277885437
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0.7262778282165527
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