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Wim Schoutens
Information about the author Wim Schoutens will soon be added to the site.
Found
2 papers
in total
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A framework for robust measurement of implied correlation
2014
We determine correlation estimates by matching the observed index option price with...
A bootstrapping market implied moment matching calibration for models with time-dependent parameters
2014
Calibration of Markov models with piecewise constant parameters. Use of the additive...
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