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WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS

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References

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1997Calibrating volatility surfaces via relative-entropy minimization249 cited
1996Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model146 cited
1998Minimum-Relative-Entropy Calibration of Asset-Pricing Models132 cited

Cited by

2013A Calibration Procedure for Analyzing Stock Price Dynamics in an Agent-Based Framework76 cited
2006Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem73 cited
2007VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING73 cited
2008RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES71 cited
2007Retrieving Lévy processes from option prices : regularization of an ill-posed inverse problem43 cited
2005Large Sample Properties of Weighted Monte Carlo Estimators34 cited
2005CALIBRATED OPTION BOUNDS31 cited
2012EQUITY CORRELATIONS IMPLIED BY INDEX OPTIONS: ESTIMATION AND MODEL UNCERTAINTY ANALYSIS24 cited
2023Simulation of Arbitrage-Free Implied Volatility Surfaces20 cited
2010

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An efficient control variate method for pricing variance derivatives

18 cited

2004PRICING DERIVATIVE SECURITIES USING CROSS-ENTROPY: AN ECONOMIC ANALYSIS17 cited

2019Building Arbitrage-Free Implied Volatility: Sinkhorn's Algorithm and Variants17 cited