• DocumentCode
    1699870
  • Title

    Model uncertainty and performance in option pricing

  • Author

    Gyorgy, L.G. ; Michaletsky, G. ; Rásonyi, Miklós

  • Author_Institution
    Comput. & Autom. Inst., Hungarian Acad. of Sci., Budapest, Hungary
  • Volume
    4
  • fYear
    1999
  • fDate
    6/21/1905 12:00:00 AM
  • Firstpage
    3964
  • Abstract
    A simple binomial tree model with additional statistical uncertainty in the stock process is considered. The path-wise add-on cost needed for hedging is computed. This is used for evaluating the performance of any initial price with simple methods of stochastic programming
  • Keywords
    stochastic processes; stochastic programming; stock markets; binomial tree model; model uncertainty; option pricing; path-wise add-on cost; statistical uncertainty; Automation; Bonding; Costs; Filtration; Portfolios; Pricing; Probability; Statistics; Stochastic processes; Uncertainty;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
  • Conference_Location
    Phoenix, AZ
  • ISSN
    0191-2216
  • Print_ISBN
    0-7803-5250-5
  • Type

    conf

  • DOI
    10.1109/CDC.1999.827979
  • Filename
    827979
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1699870