Loss functions In option valuation: A framework for selection

Management Science

Volumn 55, Issue 5, 2009, Pages 853-862

  Bams, Dennis ^a   Lehnert, Thorsten ^a   Wolff, Christian C P ^b  

^a MAASTRICHT UNIVERSITY   (Netherlands)

^b UNIVERSITY OF LUXEMBOURG   (Luxembourg)

Author keywords

Estimation risk; Garch; Implied volatility; Loss functions; Option pricing

Indexed keywords

BLACK-SCHOLES MODEL; DATA-DRIVEN METHODS; EMPIRICAL RESULTS; ERROR CRITERION; GARCH; IMPLIED VOLATILITY; LOSS FUNCTIONS; OPTION PRICE; OPTION PRICING; OPTION PRICING MODELS; OPTION VALUATION; PARAMETER UNCERTAINTY; POINT ESTIMATE; ROOT MEAN SQUARED;

COSTS; ESTIMATION; RISK PERCEPTION; UNCERTAINTY ANALYSIS;

FUNCTION EVALUATION;

EID: 67649949155     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1080.0976     Document Type: Article

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