MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
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Cited in
(only showing first 100 items - show all)- Applying hedging strategies to estimate model risk and provision calculation
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- Pathwise convergence under Knightian uncertainty
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- Reduction of Value-at-Risk bounds via independence and variance information
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- On the calibration of distortion risk measures to bid-ask prices
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- Measuring the unmeasurable: an application of uncertainty quantification to treasury bond portfolios
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- MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING
- Lower and upper pricing of financial assets
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- Riding on the smiles
- Multistage portfolio optimization with stocks and options
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- Arbitrage bounds for prices of weighted variance swaps
- Confidence sets in nonparametric calibration of exponential Lévy models
- Uncertainty quantification of derivative instruments
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- An HMM approach for optimal investment of an insurer
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- The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options
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