Incorporating statistical model error into the calculation of acceptability prices of contingent claims

Glanzer, Martin ; Pflug, Georg Ch. ; Pichler, Alois

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URN: urn:nbn:de:bsz:180-madoc-644674
Document Type: Article
Year of publication: 2019
The title of a journal, publication series: Mathematical Programming : Series B
Volume: 174
Issue number: 1/2
Page range: 499-524
Place of publication: Berlin ; Heidelberg
Publishing house: Springer
ISSN: 0025-5610 , 1436-4646
Publication language: English
Institution: Business School > Operations Management (Juniorprofessur) (Glanzer 2023-)
Pre-existing license: Creative Commons Attribution 4.0 International (CC BY 4.0)
Subject: 510 Mathematics
Classification: MSC: 90C15 , 91B28 , 52A41 , 62P05,
Keywords (English): multistage stochastic optimization , distributionally robust optimization , model ambiguity , confidence regions , nested distance , Wasserstein distance , acceptability pricing , bid-ask spread

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.

Dieser Datensatz wurde nicht während einer Tätigkeit an der Universität Mannheim veröffentlicht, dies ist eine Externe Publikation.

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