to different methodologies, by employing a bootstrap technique. …

Model uncertainty, in the context of derivative pricing, can be defined as the uncertainty on the value of a contingent … quantitative framework for defining model uncertainty in option pricing models. After discussing some properties which a … quantitative measure of model uncertainty should verify in order to be useful and relevant in the context of risk measurement and …

values of key economic indicators, with no information regarding the associated uncertainty. Our assessment is that policy …, presented in this paper quantifies the uncertainty of the coefficients of the behavioural equations, on a reduced version of the … incorporating the uncertainty into the decisional mechanism, have additional information which would help them in efficiently …