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reviewed No Action Needed t-statistics for the mean return, using Newey-West standard errors
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reviewed No Action Needed What is a standard credit default swap contract and where can I find spread data? What alternatives exist to judge creditworthiness?
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comment Free data on swap options
You should put such an answer as a comment, please convert it
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May
31
comment Calibration Merton Jump-Diffusion
Generically, you can fit any model numerically. No need a closed form. Usually when a model is widely used, there are known good practices. And in this case I do not know them. In your case (in dimension one), it seems tractable numerically.
May
31
comment Calibration Merton Jump-Diffusion
Ok, it means you try to fit a Leland-like model, adding a jump component. And the jump part prevent you from having closed form results. Why not considering numerical solutions?
May
31
answered bootstrap asset allocation
May
31
comment Calibration Merton Jump-Diffusion
Just to be sure I understand your question: what is V?
May
31
comment Calibration Merton Jump-Diffusion
Could you please develop the last part of your question: "The problem of course is there doesn't exist an analytical formula for the survival probability function". It will help people to answer, and may be yourself to better understand your problem.
May
31
reviewed No Action Needed Calibration Merton Jump-Diffusion