WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
By Marco Avellaneda, Robert Buff, Craig Friedman, Nicolas Grandechamp, Łukasz Kruk, Joshua M. Newman. 2001
124 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/7652742577329368ca825eb814d2acf8969b558f
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Peter Tankov
- Bin Yu
- Rama Cont
- Paul Glasserman
- Adrien de Larrard
- Alec N. Kercheval
- Justin A. Sirignano
- Antonis Papapantoleon
In Finance
- Peter Tankov
- Rama Cont
- Bin Yu
- Steven Kou
- Paul Glasserman
- Ekaterina Voltchkova
- Hui Wang
- Gianluca Fusai
Citations in the corpus
- Simulation for American Options: Regression Now or Regression Later? (2004, methodology): “[2, 3] and a method for pricing American options proposed by Broadie, Glasserman, and Ha (BGH) [5].”
- VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING (2007, unknown): “[1], the procedure of WMC”
- Robust risk measurement and model risk (2014, unknown): “Indeed, relative entropy has been applied for model calibration and estimation in numerous sources, including Avellaneda (1998), Avellaneda et al. (2000, 1997), Buchen and Kelly (1996), Cont and Deguest (2013), Cont and Tankov (2004, 2006), Gulko (1999, 2002), and Segoviano and Goodhart (2009).”
- Non-parametric calibration of jump–diffusion option pricing models (2004, methodology): “Based on an empirical study of the kurtosis implied by US dollar/Deutschmark exchange rate options, Bates (1996b) concluded that “while implicit excess kurtosis does tend to increase as option maturity shrinks, .”
- RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES (2013, unknown): “This approach has been successfully applied to calibration of option pricing models in various static [3, 30] and dynamic [2, 4, 9] settings.”
- Lévy Processes in Finance: Inverse Problems and Dependence Modelling (2004, methodology): “[3] pursue the same logic further and propose a method allowing to construct a discrete approximation of the law of the process underlying the observed option prices.”
- Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach (2002, methodology): “We thank Marco Avellaneda, Frédéric Bonnans, Stephane Crépey and Dilip Madan for helpful remarks.”