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Showing 1 to 3 of 3 for “"Non Parametric Calibration"”.
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Some results in non-parametric calibration
In statistical terminology, calibration is the problem of recovering the value of the control variable when the value of the response is given. Mathematically, it is the problem of determining the values ofthe independent variables that respond to a given function value: in other words, the problem …
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Essays on commodity price variability
… which incorporate risk, are obtained by parametric and non parametric calibration of the risk-neutral densities. Then the predictive accuracy of the forecasts is evaluated. Goodness of fit and out-of-sample accuracy comparisons indicate that real-world densities outperform risk-neutral …
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Valoración de opciones bajo el modelo de Kou aplicando transformada de Fourier
En esta Tesis se presenta el modelo de Kou, Difusión con saltos doble exponenciales, para la valoración de opciones Call de tipo europeo sobre los precios del petróleo como activo subyacente. Se mostrarán los cálculos numéricos para la formulación de expresiones analíticas que se resolverán …