No Good Deals - No Bad Models
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- Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges, 2013. "No Good Deals - No Bad Models," Working Papers 2013_04, Business School - Economics, University of Glasgow.
- Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges, 2012. "No good deals—no bad models," Staff Reports 589, Federal Reserve Bank of New York.
- Nina Boyarchenko, 2014. "No Good Deals—No Bad Models," Liberty Street Economics 20140505, Federal Reserve Bank of New York.
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Cited by:
- Dirk Becherer & Klebert Kentia, 2016. "Hedging under generalized good-deal bounds and model uncertainty," Papers 1607.04488, arXiv.org, revised Apr 2017.
More about this item
Keywords
Asset pricing theory; Good deal bounds; Knightian uncertainty; Model uncertainty; Contingent claim pricing; model-uncertainty-induced utility function;JEL classification:
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-HPE-2013-12-29 (History & Philosophy of Economics)
- NEP-UPT-2013-12-29 (Utility Models & Prospect Theory)
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