scientific article; zbMATH DE number 1440968

MaRDI QIDQ4949414zbMATH OpenFDO

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

Publication date 22 July 2002

zbMATH Keywords

benchmark securitiesmarket pricesMonte Carlo modelsvariance

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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• WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
• Delta-hedging vega risk?
• Large Sample Properties of Weighted Monte Carlo Estimators
• A calibration algorithm for simulation-based pricing models

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