CUTTING EDGE Calibration - Weighted Monte Carlo Most pricing models assume an asset behaviour and calibrate its parameters to fit the market. Weighted Monte Carlo is able to calibrate the market without making specific assumptions about the asset behaviour. When only vanilla products are considered, the asset behaviour may allow for arbitrage. The authors show that this is indeed the case and ...
| Year of publication: |
2006
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| Authors: | Elices, Alberto ; Giménez, Eduard |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 19.2006, 5, p. 90-125
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