Calibration of a path-dependent volatility model: empirical tests
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Publication:961413
DOI10.1016/j.csda.2008.10.042zbMath1453.62091OpenAlexW2006438692MaRDI QIDQ961413
Publication date: 30 March 2010
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2008.10.042
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)
Related Items
Robustness for path-dependent volatility models, The Role of Fundamental Solution in Potential and Regularity Theory for Subelliptic PDE
Uses Software
Cites Work
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