WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS

DOI10.1142/S0219024901000882zbMath1153.91458OpenAlexW4230395928MaRDI QIDQ3523563

Craig Friedman, Joshua Newman, Nicolas Grandechamp, Robert Buff, Łukasz Kruk, Marco Avellaneda

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024901000882

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Microeconomic theory (price theory and economic markets) (91B24)

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Uses Software

• L-BFGS-B
• L-BFGS

Cites Work

• Minimum-Relative-Entropy Calibration of Asset-Pricing Models
• A Risk-Neutral Stochastic Volatility Model
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Calibrating volatility surfaces via relative-entropy minimization

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