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Title:

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

Document type:
Zeitschriftenaufsatz
Author(s):
Bannör, K. F.; Scherer, M.
Non-TUM Co-author(s):
nein
Cooperation:
-
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:
7
Pages contribution:
1217-1228
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1080/14697688.2014.887220
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Judgement review:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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