Trajectory Based Models. Evaluation of Minmax Pricing Bounds.
نویسندگان
چکیده
منابع مشابه
Chapter 5: Minmax Lower Bounds
Both questions ask about some form of optimality. The first one is about optimality of an estimator, whereas the second one is about optimality of a bound. The difficulty of these questions varies depending on whether we are looking for a positive or a negative answer. Indeed, a positive answer to these questions simply consists in finding a better proof for the estimator we have studied (quest...
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This paper investigates the impact on option prices of divergent consumer conÞdence. To model this, we assume that consumers disagree on the expected growth rate of aggregate consumption. With other conditions unchanged in the discrete-time Black-Scholes option-pricing model, we show that the representative consumer will have declining relative risk aversion instead of the assumed constant rela...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2015
ISSN: 1556-5068
DOI: 10.2139/ssrn.2687612