On the calibration of distortion risk measures to bid-ask prices (Q5245461): Difference between revisions

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+https://doi.org/10.1080/14697688.2014.887220
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+W2001889380
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+Coherent Measures of Risk
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+Capturing parameter risk with convex risk measures
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+Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
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+MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
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+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
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+Linear Least Squares with Bounds and Linear Constraints
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+Algorithm 587: Two Algorithms for the Linearly Constrained Least Squares Problem
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+Risk measure pricing and hedging in incomplete markets
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