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
fDate :
6/21/1905 12:00:00 AM
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;
Conference_Titel :
Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
Conference_Location :
Phoenix, AZ
Print_ISBN :
0-7803-5250-5
DOI :
10.1109/CDC.1999.827979
