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Measures of model uncertainty and calibrated option bounds - MaRDI portal

Measures of model uncertainty and calibrated option bounds (Q3625231)

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Measures of model uncertainty and calibrated option bounds
scientific article

    Statements

    title
    Measures of model uncertainty and calibrated option bounds (English)
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    published in
    Optimization
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    publication date
    12 May 2009
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    zbMATH Keywords
    model uncertainty
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    option pricing
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    incomplete markets
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    coherent risk measures
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    convex risk measures
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    calibrated option bounds
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    duality
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    describes a project that uses
    CPLEX
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    CONOPT
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    GAMS
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    91B24
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    90C90
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    zbMATH DE Number
    5552521
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    OpenAlex ID
    W1974737730
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