Model Uncertainty and its Impact on Derivative Pricing

Model Uncertainty and its Impact on Derivative Pricing

Financial derivatives written on an underlying can normally be priced and hedged accurately only after a suitable mathematical model for the underlying has been determined. This chapter explains the difficulties in finding a (unique) realistic model — model uncertainty. If the wrong model is chosen...

Полное описание

Библиографические подробности
Главные авторы:	Gupta, A, Reisinger, C, Whitley, A
Формат:	Book section
Опубликовано:	RISK 2011

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