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cs.LG2007
Filtering Additive Measurement Noise with Maximum Entropy in the Mean
Henryk Gzyl, Enrique ter Horst
The purpose of this note is to show how the method of maximum entropy in the mean (MEM) may be used to improve parametric estimation when the measurements are corrupted by large le…
cs.CE2007
Assessment and Propagation of Input Uncertainty in Tree-based Option Pricing Models
Henryk Gzyl, German Molina, Enrique ter Horst
This paper aims to provide a practical example on the assessment and propagation of input uncertainty for option pricing when using tree-based methods. Input uncertainty is propaga…