Incorporating statistical model error into the calculation of acceptability prices of contingent claims


Optimal bid and ask prices for contingent claims can be found by stochastic optimization. However, the underlying stochastic model for the asset price dynamics is typically based on data and statistical estimation. We define a... [ view full abstract ]


  1. Martin Glanzer (University of Vienna)
  2. Georg Pflug (University of Vienna)

Topic Areas

Optimization , Risk Measures , Robustness


TU-P-DA » Robust and Model-Free Finance (14:30 - Tuesday, 17th July, Davis)

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