Publication
Title
Bid-ask 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 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.
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
2194-1009
ISBN
978-3-319-09114-3
978-3-319-09113-6
Volume/pages
p. 59-74
ISI
000360221400004
Full text (Publisher's DOI)
Full text (open access)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 19.01.2015
Last edited 22.07.2017
To cite this reference