Model Uncertainty and its Impact on the Pricing of Derivative Instruments-Reference-Cited by-同舟云学术

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Model Uncertainty and its Impact on the Pricing of Derivative Instruments

Published:2004 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Cont Rama

Publisher

Elsevier BV

Reference39 articles.

1. Risk management using quasi-static hedging;S Allen & Padovani] Allen;Economic Notes,2002

2. Coherent measures of risk;P Artzner;Mathematical Finance,1999

3. Pricing and hedging derivative securities in markets with uncertain volatilities;M Avellaneda;Applied Mathematical Finance,1995

4. Managing the Volatility Risk of Portfolios of Derivative Securities: the Lagrangian Uncertain Volatility Model;M Avellaneda & Paras] Avellaneda;Applied Mathematical Finance,1996

5. Recovering volatility from option prices by evolutionary optimization;S Ben Hamida;Rapport Interne CMAP,2004

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Bibliography;Perturbation Methods in Credit Derivatives;2020-12-15

2. A Normalized Measure of Model Risk;SSRN Electronic Journal;2010

3. Model Validation: Theory, Practice and Perspectives;SSRN Electronic Journal;2010

4. Recovering Volatility from Option Prices by Evolutionary Optimization;SSRN Electronic Journal;2004

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