Model Uncertainty And Its Impact On The Pricing Of Derivative Instruments
Work
Year: 2006
Type: article
Abstract: Uncertainty on the choice of an option pricing model can lead to “model risk” in the valuation of portfolios of options. After discussing some properties which a quantitative measure of model uncertai... more
Source: Mathematical Finance
Author Rama Cont
Institutions École Polytechnique, Centre de Mathématiques Appliquées
Cites: 45
Cited by: 363
Related to: 10
FWCI: 14.8
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Open Access status: green