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A moment matching market implied calibration |
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| Authors: | Florence Guillaume Wim Schoutens |
| Institution: | 1. Department of Mathematics , K.U. Leuven , Celestijnenlaan 200 B , B-3001 Leuven , Belgium florence.guillaume@wis.kuleuven.be;3. Department of Mathematics , K.U. Leuven , Celestijnenlaan 200 B , B-3001 Leuven , Belgium |
| Abstract: | |
| Keywords: | Model calibration Financial engineering Lévy process Options applications |