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 …

look at the problem of calibrating financial models, measuring the model uncertainty of a claim and choosing an optimal … uncertainty. Using the framework for market risk measures we propose axioms for new classes of model uncertainty measures. Similar … to the market risk case, we prove representation theorems for coherent and convex model uncertainty measures. Example …