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...
Main Authors: | Gupta, A, Reisinger, C, Whitley, A |
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Format: | Book section |
Published: |
RISK
2011
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