Measures of model uncertainty and calibrated option bounds

DOI10.1080/02331930902741770zbMath1159.91396MaRDI QIDQ3625231

Mustafa Çelebi Pinar

Publication date: 12 May 2009

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/22788

zbMATH Keywords

option pricing; duality; incomplete markets; coherent risk measures; model uncertainty; convex risk measures; calibrated option bounds

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

91B24: Microeconomic theory (price theory and economic markets)

Related Items

Market price-based convex risk measures: a distribution-free optimization approach, Multistage portfolio optimization with stocks and options, Pricing American contingent claims by stochastic linear programming

Uses Software

• CONOPT
• CPLEX
• GAMS

Cites Work

• Maxmin expected utility with non-unique prior
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• A Definition of Uncertainty Aversion
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• CALIBRATED OPTION BOUNDS
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Duality theory for optimal investments under model uncertainty