Adaptive Calibration of Risk Neutral Parameters with Applications to Option Valuation

Erik Lindström, Jonas Ströjby, Mats Brodén, Magnus Wiktorsson, Jan Holst

Research output: Contribution to conference › Abstract › peer-review

Original language	English
Publication status	Published - 2006
Event	Forth World Congress Bachelier Finance Society - Tokyo Duration: 2006 Aug 17 → 2006 Aug 20

Conference	Forth World Congress Bachelier Finance Society
Period	2006/08/17 → 2006/08/20

Subject classification (UKÄ)

@conference{bdc12fb405034ccda3266e6c00ee51d6,

title = "Adaptive Calibration of Risk Neutral Parameters with Applications to Option Valuation",

author = "Erik Lindstr{\"o}m and Jonas Str{\"o}jby and Mats Brod{\'e}n and Magnus Wiktorsson and Jan Holst",

year = "2006",

language = "English",

note = "Forth World Congress Bachelier Finance Society ; Conference date: 17-08-2006 Through 20-08-2006",

}