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Title
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Bid-ask spread for exotic options under conic finance
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Author
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Abstract
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| This paper puts the concepts of model and calibration risks into the perspective of bid and ask pricing and marketed cash-flows 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 risk-neutral measures which can be seen as the test measures used to assess the (un)acceptability of risks. |
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Language
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English
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Source (book)
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Innovations in quantitative risk management / Glau, K. [edit.]; Scherer, M. [edit.]; Zagst, R. [edit.]
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Source (series)
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Springer proceedings in mathematics & statistics; 99
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Publication
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New York, N.Y.
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Springer
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2015
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ISSN
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2194-1009
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ISBN
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978-3-319-09113-6
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978-3-319-09114-3
978-3-319-09113-6
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DOI
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10.1007/978-3-319-09114-3_4
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Volume/pages
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p. 59-74
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ISI
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000360221400004
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Full text (Publisher's DOI)
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Full text (open access)
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