Weighted Monte Carlo

A new technique for calibrating asset-pricing models

Marco Avellaneda, R. Buff, Carol Friedman, N. Grandchamp, L. Kruk

Research output: Contribution to journalArticle

Original languageEnglish (US)
JournalInternational Journal of Theoretical and Applied Finance
StatePublished - 2001

Cite this

Weighted Monte Carlo : A new technique for calibrating asset-pricing models. / Avellaneda, Marco; Buff, R.; Friedman, Carol; Grandchamp, N.; Kruk, L.

In: International Journal of Theoretical and Applied Finance, 2001.

Research output: Contribution to journalArticle

@article{f48fa2699cf84f8c98d462924a7e5a1c,
title = "Weighted Monte Carlo: A new technique for calibrating asset-pricing models",
author = "Marco Avellaneda and R. Buff and Carol Friedman and N. Grandchamp and L. Kruk",
year = "2001",
language = "English (US)",
journal = "International Journal of Theoretical and Applied Finance",
issn = "0219-0249",
publisher = "World Scientific Publishing Co. Pte Ltd",

}

TY - JOUR

T1 - Weighted Monte Carlo

T2 - A new technique for calibrating asset-pricing models

AU - Avellaneda, Marco

AU - Buff, R.

AU - Friedman, Carol

AU - Grandchamp, N.

AU - Kruk, L.

PY - 2001

Y1 - 2001

M3 - Article

JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

SN - 0219-0249

ER -