Sequential calibration of options

DOI10.1016/j.csda.2007.08.009zbMath1452.62778OpenAlexW2165477099MaRDI QIDQ1023619

Jan Holst, Mats Brodén, Magnus Wiktorsson, Erik Lindström, Jonas Ströjby

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.08.009

zbMATH Keywords

calibrationoption valuationnonlinear Kalman filters

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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