Pages that link to "Item:Q4541541"
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The following pages link to Calibrating volatility surfaces via relative-entropy minimization (Q4541541):
Displaying 21 items.
- BAYESIAN INFERENCE, PRIOR INFORMATION ON VOLATILITY, AND OPTION PRICING: A MAXIMUM ENTROPY APPROACH (Q4675829) (← links)
- Maxentropic construction of risk neutral measures: discrete market models (Q4784302) (← links)
- Highs and lows: Some properties of the extremes of a diffusion and applications in finance (Q4801371) (← links)
- Limiting distributions for minimum relative entropy calibration (Q4819434) (← links)
- RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES (Q4906515) (← links)
- Joint Modeling and Calibration of SPX and VIX by Optimal Transport (Q5019589) (← links)
- Numerical Identification of Time-Dependent Volatility in European Options with Two-Stage Regime-Switching (Q5119108) (← links)
- Dynamics of the implied volatility surface. Theory and empirical evidence (Q5247237) (← links)
- Expensive martingales (Q5484645) (← links)
- IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS (Q5493852) (← links)
- CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL (Q5692938) (← links)
- Mean-Variance Hedging Under Additional Market Information (Q5696874) (← links)
- Numerical Procedure for Calibration of Volatility with American Options (Q5700149) (← links)
- Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market (Q5745649) (← links)
- Calibration of local‐stochastic volatility models by optimal transport (Q6054403) (← links)
- In memoriam: Marco Avellaneda (1955–2022) (Q6054441) (← links)
- Bayesian uncertainty quantification of local volatility model (Q6108893) (← links)
- Implied volatility smoothing at COVID-19 times (Q6134304) (← links)
- On some inverse problems for the Black-Scholes equation (Q6197727) (← links)
- Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes (Q6202389) (← links)
- Physics-informed convolutional transformer for predicting volatility surface (Q6546314) (← links)