This paper puts the concepts of model and calibration risks into the perspective of bid and ask pricing and marketed cash-flows which originate from the conic finance theory. Different asset pricing models calibrated to liquidly traded derivatives by making use of various plausible calibration methodologies lead to different risk-neutral measures which can be seen as the test measures used to assess the (un)acceptability of risks.
CITATION STYLE
Guillaume, F., & Schoutens, W. (2015). Bid-Ask Spread for Exotic Options under Conic Finance. In Springer Proceedings in Mathematics and Statistics (Vol. 99, pp. 59–74). Springer New York LLC. https://doi.org/10.1007/978-3-319-09114-3_4
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