Quantifying the model risk inherent in the calibration and recalibration of option pricing models
Year of publication: |
2021
|
---|---|
Authors: | Feng, Yu ; Rudd, Ralph ; Baker, Christopher ; Mashalaba, Qaphela ; Mavuso, Melusi ; Schlögl, Erik |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 9.2021, 1, p. 1-20
|
Publisher: |
Basel : MDPI |
Subject: | model calibration | model risk | option pricing | relative entropy | stochastic volatility |
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