Model Error in Contingent Claim Models (Dynamic Evaluation).

This paper formally incorporates parameter uncertainty and model error into the estimation of contingent claim models and the formulation of forecasts. This allows inference on functions of interest (option values, bias functions, hedge ratios) consistent with uncertainty in both parameters and models. We show how to recover the exact posterior distributions of the parameters or any function of the parameters.

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Year of publication:	1996
Authors:	Jacquier, E. ; Jarrow, R.
Institutions:	Rodney L. White Center for Financial Research, Wharton School of Business
Subject:	MODELS \| UNCERTAINTY \| FORECASTS

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Series:	Rodney L. White Center for Financial Research Working Papers.
Type of publication:	Book / Working Paper
Notes:	38 pages
Classification:	C50 - Econometric Modeling. General ; D80 - Information and Uncertainty. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005245289