82 search results - page 3 / 17 » Sequential calibration of options |
CORR
2007
Springer
13 years 7 months ago
2007
Springer
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit...
ICRA
2009
IEEE
14 years 2 months ago
2009
IEEE
— Computer vision researchers have proved the feasibility of camera self-calibration —the estimation of a camera’s internal parameters from an image sequence without any know...
CORR
2004
Springer
13 years 7 months ago
2004
Springer
We compare static arbitrage price bounds on basket calls, i.e. bounds that only involve buy-and-hold trading strategies, with the price range obtained within a multivariate genera...
ISPW
2008
IEEE
14 years 1 months ago
2008
IEEE
Most process models calibrate their internal settings using historical data. Collecting this data is expensive, tedious, and often an incomplete process. Is it possible to make acc...
ECAI
2010
Springer
13 years 8 months ago
2010
Springer
Abstract. In this paper we introduce a new option pricing mechanism for reducing the exposure problem encountered by bidding agents with complementary valuations when participating...