On the calibration of distortion risk measures to bid-ask prices

DOI10.1080/14697688.2014.887220MaRDI QIDQ5245461zbMATH OpenOpenAlexFDO

Authors Karl F. Bannör, Matthias Scherer

Publication date 8 April 2015

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2014.887220

zbMATH Keywords

bid-ask spreadconic financeconvex risk measuredistorted probabilitiesdistortion functionnon-parametric calibrationspectral risk measure

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Bid and ask prices as non-linear continuous time G-expectations based on distortions
• On distortion functionals
• From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
• Capturing parameter risk with convex risk measures
• Conditional coherent risk measures and regime-switching conic pricing

Cites work

• Algorithm 587: Two Algorithms for the Linearly Constrained Least Squares Problem
• Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
• Capturing parameter risk with convex risk measures
• Coherent measures of risk
• Linear Least Squares with Bounds and Linear Constraints
• Markets as a counterparty: an introduction to conic finance
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Risk measure pricing and hedging in incomplete markets

Cited in

(6)

• Option pricing by probability distortion operator based on the quantile function
• Bid and ask prices as non-linear continuous time G-expectations based on distortions
• Bowley reinsurance with asymmetric information: a first-best solution
• Representation of concave distortions and applications
• On bid and ask pricing of European options via direct discretization of Choquet distorted expectations
• An integrated approach to importance sampling and machine learning for efficient Monte Carlo estimation of distortion risk measures in black-box models

This page was built for publication: On the calibration of distortion risk measures to bid-ask prices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5245461)