Incorporating statistical model error into the calculation of acceptability prices of contingent claims (Q1739048)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Incorporating statistical model error into the calculation of acceptability prices of contingent claims |
scientific article |
Statements
Incorporating statistical model error into the calculation of acceptability prices of contingent claims (English)
0 references
24 April 2019
0 references
multistage stochastic optimization
0 references
distributionally robust optimization
0 references
model ambiguity
0 references
confidence regions
0 references
nested distance
0 references
Wasserstein distance
0 references
acceptability pricing
0 references
bid-ask spread
0 references
0 references
0 references
0 references
0 references
0 references
0 references