Robust risk measurement and model risk
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2013.822989
Reference41 articles.
1. Minimum-Relative-Entropy Calibration of Asset-Pricing Models
2. PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
3. Calibrating volatility surfaces via relative-entropy minimization
4. Pricing and hedging derivative securities in markets with uncertain volatilities
5. Stock return predictability and model uncertainty
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