Incorporating statistical model error into the calculation of acceptability prices of contingent claims (Q1739048)
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scientific article; zbMATH DE number 7047600
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| English | Incorporating statistical model error into the calculation of acceptability prices of contingent claims |
scientific article; zbMATH DE number 7047600 |
Statements
Incorporating statistical model error into the calculation of acceptability prices of contingent claims (English)
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24 April 2019
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multistage stochastic optimization
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distributionally robust optimization
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model ambiguity
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confidence regions
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nested distance
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Wasserstein distance
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acceptability pricing
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bid-ask spread
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0.7364705204963684
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0.7140774726867676
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0.7082172632217407
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0.7025147080421448
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0.6888583898544312
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