Loss Functions in Option Valuation: A Framework for Selection

DOI10.1287/MNSC.1080.0976zbMath1232.91642OpenAlexW3124896067MaRDI QIDQ3117827

Dennis Bams, Thorsten Lehnert, Christian C. P. Wolff

Publication date: 1 March 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.1080.0976

zbMATH Keywords

option pricingloss functionsestimation riskGARCH implied volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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