Title
Bid-ask spread for exotic options under conic finance Bid-ask spread for exotic options under conic finance
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Publication type
bookPart
Publication
New York, N.Y. :Springer, [*]
Subject
Economics
Mathematics
Source (book)
Innovations in quantitative risk management / Glau, K. [edit.]; Scherer, M. [edit.]; Zagst, R. [edit.]
Source (series)
Springer proceedings in mathematics & statistics; 99
ISSN
2194-1009
2194-1009
ISBN - Hoofdstuk
978-3-319-09114-3
ISI
000360221400004
ISBN - Hoofdstuk
978-3-319-09113-6
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
Abstract
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.
Full text (open access)
https://repository.uantwerpen.be/docman/irua/4fba6c/23954e2e.pdf
E-info
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