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Calibrating Option Pricing Models with Heuristics [PDF]

open access: yes
Calibrating option pricing models to market prices often leads to optimisation problems to which standard methods (like such based on gradients) cannot be applied.
Enrico Schumann, Manfred Gilli
core  

AN OPTIMAL QUADRATURE FORMULA OF CLOSED TYPE

open access: yesAN OPTIMAL QUADRATURE FORMULA OF CLOSED TYPE
application/pdf An optimal 3-point quadrature formula of closed type is derived. The optimality is considered with respect to a given way of estimation of its error.
openaire  

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