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Search found 2 matches
by
eantar
February 26th, 2008, 10:37 am
Forum:
Technical Forum
Topic:
Calibrate prices or volatilities?
Replies:
9
Views:
60912
Calibrate prices or volatilities?
do you have a link to that analysis?thanks!
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by
eantar
February 25th, 2008, 3:38 pm
Forum:
Technical Forum
Topic:
Calibrate prices or volatilities?
Replies:
9
Views:
60912
Calibrate prices or volatilities?
There are multiple ways of calibrating a term structure model. The main approaches are:- minimize sum of squared price errors- minimize sum of squared implied black volatility errorsAny ideas what method is better for what and why?
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