Archivio Istituzionale della RicercaWe consider the problem of shortfall risk minimization when there is uncertainty about the exact stochastic dynamics of the underlying. Starting from the general discrete time model and the approach described in Runggaldier and Zaccaria (1999), we derive explicit analytic solutions for the particular case of a binomial model when there is uncertainty about the probability of an "up-movement". The solution turns out to be a rather intuitive extension of that for the classical Cox-Ross-Rubinstein model.
A Bayesian adaptive control approach to risk management in a binomial model / Runggaldier, W. J.; Trivellato, Barbara; Vargiolu, T.. - STAMPA. - 52:(2002), pp. 243-258. (Intervento presentato al convegno Seminar on Stochastic Analysis, Random Fields and Applications, III tenutosi a Ascona (Switzerland) nel September 20 to 24, 1999).
A Bayesian adaptive control approach to risk management in a binomial model
TRIVELLATO, BARBARA;
2002
Abstract
We consider the problem of shortfall risk minimization when there is uncertainty about the exact stochastic dynamics of the underlying. Starting from the general discrete time model and the approach described in Runggaldier and Zaccaria (1999), we derive explicit analytic solutions for the particular case of a binomial model when there is uncertainty about the probability of an "up-movement". The solution turns out to be a rather intuitive extension of that for the classical Cox-Ross-Rubinstein model.
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
https://hdl.handle.net/11583/2303811
Attenzione
Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo