Optimal adaptive sequential calibration of option models
Year of publication: |
[2018]
|
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Authors: | Lindström, Erik ; Åkerlindh, Carl |
Published in: |
Handbook of recent advances in commodity and financial modeling : quantitative methods in banking, finance, insurance, energy and commodity markets. - Cham : Springer Nature, ISBN 978-3-319-61318-5. - 2018, p. 165-181
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Subject: | Unscented Kalman filter | EM algorithm | Sequential option calibration | Fourier Gauss-Laguerre option pricing | Optionspreistheorie | Option pricing theory | Zustandsraummodell | State space model | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Algorithmus | Algorithm | Mathematische Optimierung | Mathematical programming |
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