Title 



Bidask spread for exotic options under conic finance


Author 





Abstract 



This paper puts the concepts of model and calibration risks into the perspective of bid and ask pricing and marketed cashflows which originate from the conic finance theory. Different asset pricing models calibrated to liquidly traded derivatives by making use of various plausible calibration methodologies lead to different riskneutral measures which can be seen as the test measures used to assess the (un)acceptability of risks.  

Language 



English


Source (book) 



Innovations in quantitative risk management / Glau, K. [edit.]; Scherer, M. [edit.]; Zagst, R. [edit.] 

Source (series) 



Springer proceedings in mathematics & statistics; 99 

Publication 



New York, N.Y. : Springer, 2015


ISSN 



21941009


ISBN 



9783319091143
9783319091136


Volume/pages 



p. 5974


ISI 



000360221400004


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