Financial options and statistical prediction intervals

DOI10.1214/AOS/1065705113zbMath1042.62094OpenAlexW2002521974MaRDI QIDQ1431433

Per Aslak Mykland

Publication date: 9 June 2004

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1065705113

zbMATH Keywords

predictionanalytic setsincompletenessvalue at riskstatistical uncertaintycoherent measures of riskconservative delta hedging

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric tolerance and confidence regions (62G15) Inference from stochastic processes (62M99) Martingales with continuous parameter (60G44)

Related Items (19)

Robust pricing and hedging under trading restrictions and the emergence of local martingale models ⋮ Robust pricing-hedging dualities in continuous time ⋮ Robust estimation of superhedging prices ⋮ Statistical options: crash resistant financial contracts based on robust estimation ⋮ Pointwise Arbitrage Pricing Theory in Discrete Time ⋮ Robust Framework for Quantifying the Value of Information in Pricing and Hedging ⋮ ROBUST TRADING OF IMPLIED SKEW ⋮ Edgeworth Corrections for Realized Volatility ⋮ Implied and realized volatility: empirical model selection ⋮ Hedging with small uncertainty aversion ⋮ Model-Free Price Bounds Under Dynamic Option Trading ⋮ Duality for pathwise superhedging in continuous time ⋮ Stochastic integration and differential equations for typical paths ⋮ Pathwise superhedging on prediction sets ⋮ EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH ⋮ Transport plans with domain constraints ⋮ A unified framework for robust modelling of financial markets in discrete time ⋮ Combining statistical intervals and market prices: the worst case state price distribution ⋮ Model Uncertainty: A Reverse Approach

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