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Model Uncertainty and its Impact on the Pricing of Derivative Instruments · Study

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PreprintModel Uncertainty and its Impact on the Pricing of Derivative Instruments

Rama Cont A2004

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Preprintgreen2004

Model Uncertainty and its Impact on the Pricing of Derivative Instruments

73 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Risk Management in Financial Firms Risk and Portfolio Optimization

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References

1921Risk, Uncertainty and Profit 1999Coherent Measures of Risk 1961Risk, Ambiguity, and the Savage Axioms 1976Option pricing when underlying stock returns are discontinuous 1989Maxmin expected utility with non-unique prior 2002Convex measures of risk and trading constraints 2002Ambiguity, Risk, and Asset Returns in Continuous Time 1998The fundamental theorem of asset pricing for unbounded stochastic processes

Cited by

2017Robust and Pareto optimality of insurance contracts 2009Risk minimization in stochastic volatility models: model risk and empirical performance 2015A new approach to assessing model risk in high dimensions 2013Ambiguous Volatility and Asset Pricing in Continuous Time 2014Reducing Model Risk via Positive and Negative Dependence Assumptions 2015Reduction of Value-at-Risk bounds via independence and variance information

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Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations73

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.562721

openalex_workW2115094006

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