Incorporating statistical model error into the calculation of acceptability prices of contingent claims

Martin Glanzer, Georg Ch. Pflug, Alois Pichler. Incorporating statistical model error into the calculation of acceptability prices of contingent claims. Math. Program., 174(1-2):499-524, 2019. [doi]

Authors

Martin Glanzer

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Georg Ch. Pflug

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Alois Pichler

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