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...
| Principais autores: | , |
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| Formato: | Journal article |
| Publicado em: |
2011
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