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Document type:
Zeitschriftenaufsatz 
Author(s):
Bannör, K. F.; Scherer, M. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
On the calibration of distortion risk measures to bid-ask prices 
Abstract:
We investigate the calibration of a non-linear pricing model to quoted bid-ask prices and show the existence of a solution in a broad class of distortion risk measures, following the frameworks of [Cherny and Madan 2010] and [Bannör and Scherer 2011a]. We present an approximation of distortion risk measures by a piecewise linear approximation of concave distortions. This is used to construct a tractable non-parametric calibration procedure to bid-ask prices based on piecewise linear con- cave di...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Quantitative Finance 
Year:
2014 
Journal volume:
14 
Journal issue:
Pages contribution:
1217-1228 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Ja 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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