Buscar
Mostrando ítems 1-1 de 1
A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities
(International Society for Bayesian Analysis, 2015-12)
We build on the derivative pricing calibration literature, and propose a more general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set of densities at different ...