Benutzer: Gast  Login
Titel:

On the calibration of distortion risk measures to bid-ask prices

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Bannör, K. F.; Scherer, M.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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
Zeitschriftentitel:
Quantitative Finance
Jahr:
2014
Band / Volume:
14
Heft / Issue:
7
Seitenangaben Beitrag:
1217-1228
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1080/14697688.2014.887220
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Format:
Text
Urteilsbesprechung:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
 BibTeX
Versionen