IMPRECISE MODEL FOR PRICING AND HEDGING

Imprecise Model For Pricing And Hedging

Imprecise Model for Pricing and Hedging

The relationship between risk measures and imprecise probability theory have received relatively little attention in the literature. This work helps to fill this gap in the Dutch risk measures are concerned. Use of inaccurate forecasts as a starting point, a new family widespread Dutch risk measures is introduced, its properties with respect to several alternative consistency notions are analyzed and discussed its advantageous features. These measures correspond to a correct inaccurate forecasting a measure of the uncertainty of the first approach, while preserving their coherence properties ...