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The use of statistical tests to calibrate the normal SABR model - MaRDI portal

The use of statistical tests to calibrate the normal SABR model

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Publication:2848386

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DOI10.1515/jip-2012-0093zbMath1273.62246OpenAlexW2011809574MaRDI QIDQ2848386

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

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

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