Model Uncertainty and its Impact on the Pricing of Derivative Instruments
نویسندگان
چکیده
منابع مشابه
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 for pricing and hedging, unexpected and unwelcome financial consequences may occur. By “wrong mode...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.562721