The use of statistical tests to calibrate the normal SABR model

DOI10.1515/jip-2012-0093zbMath1273.62246MaRDI QIDQ2848386

Maria Cristina Recchioni, Francesco Zirilli, Lorella Fatone, Francesca Mariani

Publication date: 26 September 2013

Published in: jiip (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jip-2012-0093

zbMATH Keywords

Monte Carlo; calibration; statistical tests; SABR model

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H15: Hypothesis testing in multivariate analysis

35R30: Inverse problems for PDEs

37N40: Dynamical systems in optimization and economics