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

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DOI:	https://doi.org/10.1007/s10107-018-1352-7
URL:	https://link.springer.com/article/10.1007/s10107-0...
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.

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

Google Scholar: Glanzer, Martin ; Pflug, Georg Ch. ; Pichler, Alois

ORCID: Glanzer, Martin

; Pflug, Georg Ch. ; Pichler, Alois

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