Incorporating statistical model error into the calculation of acceptability prices of contingent claims

DOI10.1007/s10107-018-1352-7zbMath1421.90095arXiv1703.05709OpenAlexW3102540668WikidataQ128707581 ScholiaQ128707581MaRDI QIDQ1739048

Martin Glanzer, Alois Pichler, Georg Ch. Pflug

Publication date: 24 April 2019

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.05709

zbMATH Keywords

confidence regionsWasserstein distancebid-ask spreadmodel ambiguitydistributionally robust optimizationmultistage stochastic optimizationacceptability pricingnested distance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic programming (90C15) Convex functions and convex programs in convex geometry (52A41)

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