Measures of model uncertainty and calibrated option bounds
From MaRDI portal
Publication:3625231
DOI10.1080/02331930902741770zbMath1159.91396OpenAlexW1974737730MaRDI QIDQ3625231
Publication date: 12 May 2009
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11693/22788
option pricingdualityincomplete marketscoherent risk measuresmodel uncertaintyconvex risk measurescalibrated option bounds
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (3)
Market price-based convex risk measures: a distribution-free optimization approach ⋮ Multistage portfolio optimization with stocks and options ⋮ Pricing American contingent claims by stochastic linear programming
Uses Software
Cites Work
- Maxmin expected utility with non-unique prior
- Convex measures of risk and trading constraints
- Duality and martingales: a stochastic programming perspective on contingent claims
- Uncertainty, risk-neutral measures and security price booms and crashes
- Coherent Measures of Risk
- Risk Measures and Robust Optimization Problems
- A Definition of Uncertainty Aversion
- Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
- CALIBRATED OPTION BOUNDS
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- Duality theory for optimal investments under model uncertainty
This page was built for publication: Measures of model uncertainty and calibrated option bounds
