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

DOI10.1080/14697688.2014.887220zbMath1402.91753OpenAlexW2001889380MaRDI QIDQ5245461

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 spreadconvex risk measuredistortion functiondistorted probabilitiesspectral risk measureconic financenon-parametric calibration

Mathematics Subject Classification ID

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

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Cites Work

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