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The Trace Formula for the Heat Semigroup with Polynomial Potential Read chapter Read first chapter

2011 | OriginalPaper | Chapter

On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations

Author : Lioudmila Vostrikova

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VI

Publisher: Springer Basel

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In exponential semi-martingale setting for risky asset we estimate the difference of prices of options when initial physical measure

P

and corresponding martingale measure

Q

change to ̃

P

and ̃

Q

respectively. Then, we estimate

P

L 1-distance of option prices for corresponding parametric models with known and estimated parameters. The results are applied to exponential Lévy models with special choice of martingale measure as Esscher measure, minimal entropy measure and

P

fq-minimal martingale measure. We illustrate our results by considering GMY and CGMY models.

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previous chapter A Framework for Dynamic Hedging under Convex Risk Measures
next chapter Analyzing the Fine Structure of Continuous Time Stochastic Processes
Metadata
Title
On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations
Author
Lioudmila Vostrikova
Copyright Year
2011
Publisher
Springer Basel
Book
Seminar on Stochastic Analysis, Random Fields and Applications VI

Print ISBN: 978-3-0348-0020-4

Electronic ISBN: 978-3-0348-0021-1

Copyright Year: 2011

DOI
https://doi.org/10.1007/978-3-0348-0021-1_25