Model risk in the over-the-counter market

DOI10.1016/J.EJOR.2021.07.021MaRDI QIDQ2076856zbMATH OpenOpenAlexFDO

Authors Emese Lazar, Shuyuan Qi

Publication date 22 February 2022

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2021.07.021

zbMATH Keywords

forward starting optionmodel riskrisk managementrobustness and sensitivity analysisvariance swap

Mathematics Subject Classification ID

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

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Cites work

• Alternative models for stock price dynamics.
• An investigation of model risk in a market with jumps and stochastic volatility
• Assessing financial model risk
• Bayesian analysis of contingent claim model error
• Bayesian value-at-risk backtesting: the case of annuity pricing
• Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
• Fourier-cosine method for pricing forward starting options with stochastic volatility and jumps
• Generalized spectral testing for multivariate continuous-time models
• scientific article; zbMATH DE number 3994822 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES
• Model risk of contingent claims
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• On the pricing of forward starting options in Heston's model on stochastic volatility
• Optimal detection of changepoints with a linear computational cost
• Post-'87 crash fears in the S\&P 500 futures option market
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• Semi-analytical prices for lookback and barrier options under the Heston model
• The characteristic function of rough Heston models
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• The Variance Gamma Process and Option Pricing
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Variance swap with mean reversion, multifactor stochastic volatility and jumps
• Volatility is rough

Cited in

(6)

• Loan pricing under estimation risk
• An investigation of model risk in a market with jumps and stochastic volatility
• Capturing parameter risk with convex risk measures
• Model risk of contingent claims
• Applying hedging strategies to estimate model risk and provision calculation
• Variance swaps with mean reversion and multi-factor variance

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