Financial options and statistical prediction intervals
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Publication:1431433
DOI10.1214/aos/1065705113zbMath1042.62094OpenAlexW2002521974MaRDI QIDQ1431433
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
predictionanalytic setsincompletenessvalue at riskstatistical uncertaintycoherent measures of riskconservative delta hedging
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)
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