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  • No Good Deals - No Bad Models 

    Boyarchenko, Nina; Cerrato, Mario; Crosby, John; Hodges, Stewart (University of GlasgowFederal Reserve Bank of New YorkCity University, London, 2013)
    Faced with the problem of pricing complex contingent claims, an investor seeks to make his valuations robust to model uncertainty. We construct a notion of a model- uncertainty-induced utility function and show that model ...

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