Calibrating Financial Models Using Consistent Bayesian Estimators
We consider a general calibration problem for derivative pricing models. We reformulate the problem into a Bayesian framework to attain posterior distributions for calibration parameters. We give conditions on the value function under which the corresponding Bayesian estimator is consistent. Finally...
| Main Authors: | , |
|---|---|
| Format: | Journal article |
| Published: |
2011
|