Combining statistical intervals and market prices: the worst case state price distribution

DOI10.1016/j.jeconom.2019.04.030zbMath1452.91311OpenAlexW2188950336MaRDI QIDQ2323381

Per Aslak Mykland

Publication date: 2 September 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.04.030

zbMATH Keywords

incompletenessvalue at risktransport problemstatistical uncertainty

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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