MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

DOI10.1111/J.1467-9965.2006.00281.XzbMATH Open1133.91413OpenAlexW3121811058MaRDI QIDQ5455261FDOQ5455261

Authors: Rama Cont 

Publication date: 3 April 2008

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00281.x

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)

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Cited In (only showing first 100 items - show all)

• Path dependent volatility
• Robust optimal investment and reinsurance of an insurer under jump-diffusion models
• Uncertainty and inside information
• Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model
• Equity correlations implied by index options: estimation and model uncertainty analysis
• It only takes a few moments to hedge options
• Implications of parameter uncertainty on option prices
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
• Robust pricing and hedging of double no-touch options
• Reduction of Value-at-Risk bounds via independence and variance information
• Risk minimization in stochastic volatility models: model risk and empirical performance
• On the model risk
• A stochastic differential game for optimal investment of an insurer with regime switching
• The worst case for real options
• Model uncertainty in a holistic perspective
• Robust portfolio decisions for financial institutions
• Quantifying risks with exact analytical solutions of derivative pricing distribution
• Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information
• Measuring the unmeasurable: an application of uncertainty quantification to treasury bond portfolios
• Optimal investment and reinsurance of an insurer with model uncertainty
• Optimal investment of an insurer with regime-switching and risk constraint
• CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
• Measuring exposure to dependence risk with random Bernstein copula scenarios
• Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach
• Capturing parameter risk with convex risk measures
• Model risk of contingent claims
• Robust optimal portfolio choice under Markovian regime-switching model
• Kriging of financial term-structures
• Utility maximization under model uncertainty in discrete time
• Constant proportion debt obligations (CPDOs): modeling and risk analysis
• Robust worst-case optimal investment
• Gain-loss pricing under ambiguity of measure
• Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty
• Risk aggregation with dependence uncertainty
• Risk Measures and Robust Optimization Problems
• Robust valuation, arbitrage ambiguity and profit \& loss analysis
• Optimal investment, consumption and proportional reinsurance under model uncertainty
• Robust and Pareto optimality of insurance contracts
• An investigation of model risk in a market with jumps and stochastic volatility
• Market price-based convex risk measures: a distribution-free optimization approach
• Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
• Model-free CPPI
• Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
• Model risk in credit risk
• Calibrated American option pricing by stochastic linear programming
• MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING
• Reducing model risk via positive and negative dependence assumptions
• Auto-static for the people: risk-minimizing hedges of barrier options
• Riding on the smiles
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• Hedging variance options on continuous semimartingales
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• Quantification of model risk: data uncertainty
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• Loss functions in option valuation: a framework for selection
• Measuring distribution model risk
• Hedging with small uncertainty aversion
• The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options
• Vulnerable options pricing under uncertain volatility model
• Assessing financial model risk
• An M-ary detection approach for asset allocation
• Vector majorization and a robust option replacement trading strategy
• Robust static hedging of barrier options in stochastic volatility models
• Bounds on total economic capital: the DNB case study
• Measures of model uncertainty and calibrated option bounds
• A risk-neutral equilibrium leading to uncertain volatility pricing
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• Model uncertainty and scenario aggregation
• Hedging under generalized good-deal bounds and model uncertainty
• Assessment and propagation of input uncertainty in tree-based option pricing models
• Practice-relevant model validation: distributional parameter risk analysis in financial model risk management
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• European option pricing with market frictions, regime switches and model uncertainty
• On the calibration of distortion risk measures to bid-ask prices
• Disentangling price, risk and model risk: V\&R measures
• Understanding delta-hedged option returns in stochastic volatility environments
• Model-based pricing for financial derivatives
• Indifference pricing and hedging in a multiple-priors model with trading constraints
• Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
• Portfolio selection under model uncertainty: a penalized moment-based optimization approach
• Asian option pricing under an uncertain volatility model
• Optimal risk exposure and dividend payout policies under model uncertainty
• Affine processes under parameter uncertainty
• On a robust risk measurement approach for capital determination errors minimization
• Robust and efficient fitting of severity models and the method of winsorized moments
• A numerical method for hedging Bermudan options under model uncertainty
• UNCERTAINTY VERSUS RANDOMNESS: MINIMIZING MODEL DEPENDENCE
• Affine models with path-dependence under parameter uncertainty and their application in finance
• A unified framework for robust modelling of financial markets in discrete time
• Lower and upper pricing of financial assets
• Insurance-finance arbitrage
• Conditional submodular Choquet expected values and conditional coherent risk measures
• Multistage portfolio optimization with stocks and options
• Uncertainty quantification of derivative instruments
• Worst-case large deviations upper bounds for i.i.d. sequences under ambiguity
• DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY
• Structural electricity models and asymptotically normal estimators to quantify parameter risk

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