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| | The Importance of the Loss Function in Option Pricing (SMEALSearch) - Pal,Rangaswamy,Giles,Debnath (Site not responding. Last check: 2007-09-17) |
 | | We do not promote a particular function, but instead emphasize that consistency in the choice of loss functions is crucial. |
 | | First, for any given model, the loss function used in parameter estimation and model evaluation should be identical, otherwise suboptimal parameter estimates may be obtained. |
 | | Second, when comparing models, the estimation loss function should be identical across models, otherwise unfair comparisons will be made. |
| smealsearch.psu.edu /16564.html (288 words) |
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