MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (Q5455261): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1111/j.1467-9965.2006.00281.x
+Normal rank
@@ Property / OpenAlex ID @@
+W3121811058
@@ Property / OpenAlex ID: W3121811058 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Ambiguity, Risk, and Asset Returns in Continuous Time
+Normal rank
@@ Property / cites work @@
+The fundamental theorem of asset pricing for unbounded stochastic processes
+Normal rank
@@ Property / cites work @@
+On the range of options prices
@@ Property / cites work: On the range of options prices / rank @@
+Normal rank
@@ Property / cites work @@
+Robustness of the Black and Scholes Formula
@@ Property / cites work: Robustness of the Black and Scholes Formula / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+Risk, Ambiguity, and the Savage Axioms
@@ Property / cites work: Risk, Ambiguity, and the Savage Axioms / rank @@
+Normal rank
@@ Property / cites work @@
+A Definition of Uncertainty Aversion
@@ Property / cites work: A Definition of Uncertainty Aversion / rank @@
+Normal rank
@@ Property / cites work @@
+Uncertainty, risk-neutral measures and security price booms and crashes
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Maxmin expected utility with non-unique prior
@@ Property / cites work: Maxmin expected utility with non-unique prior / rank @@
+Normal rank
@@ Property / cites work @@
+Robust utility maximization for complete and incomplete markets
+Normal rank
@@ Property / cites work @@
+Robust Permanent Income and Pricing
@@ Property / cites work: Robust Permanent Income and Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Bayesian model averaging: A tutorial. (with comments and a rejoinder).
+Normal rank
@@ Property / cites work @@
+Bayesian analysis of contingent claim model error
@@ Property / cites work: Bayesian analysis of contingent claim model error / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Q5826088
@@ Property / cites work: Q5826088 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Investments for Robust Utility Functionals in Complete Market Models
+Normal rank