2 papers
stat.ME2021
Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules
Carol Alexander, Michael Coulon, Yang Han +1
Proper scoring rules are commonly applied to quantify the accuracy of distribution forecasts. Given an observation they assign a scalar score to each distribution forecast, with th…
q-fin.MF2018
On the optimal choice of strike conventions in exchange option pricing
Elisa Alòs, Michael Coulon
An important but rarely-addressed option pricing question is how to choose appropriate strikes for implied volatility inputs when pricing more exotic multi-asset derivatives. By me…