Model risk in the over-the-counter market

DOI10.1016/J.EJOR.2021.07.021zbMath1490.91215OpenAlexW3185993406MaRDI QIDQ2076856

Shuyuan Qi, Emese Lazar

Publication date: 22 February 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2021.07.021

zbMATH Keywords

model riskrisk managementrobustness and sensitivity analysisvariance swapforward starting option

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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