Capturing parameter risk with convex risk measures
From MaRDI portal
Publication:362040
DOI10.1007/s13385-013-0070-zzbMath1277.91072MaRDI QIDQ362040
Matthias Scherer, Karl F. Bannör
Publication date: 20 August 2013
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-013-0070-z
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Model risk of contingent claims, DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY, MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING, Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk, On the calibration of distortion risk measures to bid-ask prices, Uncertainty Quantification of Derivative Instruments, Practice-relevant model validation: distributional parameter risk analysis in financial model risk management, Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach, Affine processes under parameter uncertainty
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Risk measure pricing and hedging in incomplete markets
- Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
- Option hedging for semimartingales
- Convex measures of risk and trading constraints
- Efficient hedging: cost versus shortfall risk
- Implications of parameter uncertainty on option prices
- Quantile hedging
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Coherent Measures of Risk
- Stochastic Finance
- MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
- A Characterization of the Weak Convergence of Measures
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Law invariant risk measures have the Fatou property
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Asymptotic Statistics
- Financial Modelling with Jump Processes
- The Variance Gamma Process and Option Pricing
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- Empirical performance of models for barrier option valuation