Bid-ask spread for exotic options under conic finance

This paper puts the concepts of model and calibration risks into the perspective of bid and ask pricing and marketed cash-flows which originate from the conic finance theory. Different asset pricing models calibrated to liquidly traded derivatives by making use of various plausible calibration methodologies lead to different risk-neutral measures which can be seen as the test measures used to assess the (un)acceptability of risks.

ISBN:978-3-319-09114-3

Publication year:2015

Keywords:H1 Book chapter

BOF-keylabel:yes

Authors from:Higher Education

Accessibility:Open