Limiting distributions for minimum relative entropy calibration (Q4819434)
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scientific article; zbMATH DE number 2103344
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Limiting distributions for minimum relative entropy calibration |
scientific article; zbMATH DE number 2103344 |
Statements
Limiting distributions for minimum relative entropy calibration (English)
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24 September 2004
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minimum relative entropy
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model calibration
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Kullback-Leibler distance
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prior measure
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option pricing
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stability of calibration
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weak convergence
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Monte Carlo calibration
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I-projection
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