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Persistent link: https://www.econbiz.de/10013255753
We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a given point in time (calibration error) and the model risk due to the recalibration of model parameters (in contradiction to the model assumptions). In this context, we use...
Persistent link: https://www.econbiz.de/10012422987