Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing
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References listed on IDEAS
- Monteiro, Ana Margarida & Tutuncu, Reha H. & Vicente, Luis N., 2008. "Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity," European Journal of Operational Research, Elsevier, vol. 187(2), pages 525-542, June.
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More about this item
KeywordsOR banking; Convex optimization; Convex-concave-convex probability distribution; Implied copula; CDO pricing; 90 (Operations Research; Mathematical Programming);
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