On the calibration of distortion risk measures to bid-ask prices (Q5245461)
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scientific article; zbMATH DE number 6423505
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the calibration of distortion risk measures to bid-ask prices |
scientific article; zbMATH DE number 6423505 |
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On the calibration of distortion risk measures to bid-ask prices (English)
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8 April 2015
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distorted probabilities
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distortion function
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non-parametric calibration
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conic finance
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convex risk measure
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spectral risk measure
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bid-ask spread
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