On the calibration of distortion risk measures to bid-ask prices

DOI10.1080/14697688.2014.887220zbMath1402.91753OpenAlexW2001889380MaRDI QIDQ5245461

Karl F. Bannör, Matthias Scherer

Publication date: 8 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.887220

zbMATH Keywords

bid-ask spreadconvex risk measuredistortion functiondistorted probabilitiesspectral risk measureconic financenon-parametric calibration

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Bowley reinsurance with asymmetric information: a first-best solution ⋮ Representation of concave distortions and applications

Cites Work

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

This page was built for publication: On the calibration of distortion risk measures to bid-ask prices