Journal article icon

Journal article

Calibrating Financial Models Using Consistent Bayesian Estimators

Abstract:
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 we apply our results to a discrete local volatility model and work through numerical examples to clarify the construction of Bayesian posteriors and its uses.

Actions


Access Document


Files:

Authors


Alok Gupta More by this author
Christoph Reisinger More by this author
URN:
uuid:b3a6105d-25c8-46f1-8443-57c6785bd1fc
Local pid:
oai:eprints.maths.ox.ac.uk:940

Metrics



If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP