Essays about: "Michael Montag"
Found 1 essay containing the words Michael Montag.
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1. Model risk quantification in option pricing
University essay from Lunds universitet/Matematisk statistikAbstract : This thesis investigates a methodology for quantification of model risk in option pricing. A set of different pricing models is specified and each model is assigned a probability weight based on the Akaike Information Criteria. It is then possible to obtain a price distribution of an exotic derivative from these probability weights. READ MORE
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