The Risk-Neutral Equivalent Pricing of Model-Uncertainty
Fuente:
arXiv
Saved in:
| Main Author: | Wren, Ken Kangda |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Does the Market Anticipate? Can it? Should it?
by: Wren, Kangda Ken
Published: (2026)
by: Wren, Kangda Ken
Published: (2026)
Dynamically Consistent Analysis of Realized Covariations in Term Structure Models
by: Schroers, Dennis
Published: (2024)
by: Schroers, Dennis
Published: (2024)
Option Pricing under Stochastic Volatility and Jumps:A PIDE Framework with Empirical Evidence
by: Mensah, Abigail Anokyewaa, et al.
Published: (2026)
by: Mensah, Abigail Anokyewaa, et al.
Published: (2026)
To be or not to be: Roughness or long memory in volatility?
by: Bennedsen, Mikkel, et al.
Published: (2024)
by: Bennedsen, Mikkel, et al.
Published: (2024)
Do News and Social Media Tell the Same Story? Constructing and Comparing Sentiment Spillover Networks
by: Wu, Fan, et al.
Published: (2026)
by: Wu, Fan, et al.
Published: (2026)
Generalized Beta Prime Distribution: Stochastic Model of Economic Exchange and Properties of Inequality Indices
by: Moghaddam, M. Dashti, et al.
Published: (2019)
by: Moghaddam, M. Dashti, et al.
Published: (2019)
Volatility of Volatility and Leverage Effect from Options
by: Chong, Carsten H., et al.
Published: (2023)
by: Chong, Carsten H., et al.
Published: (2023)
Higher-order Gini indices: An axiomatic approach
by: Han, Xia, et al.
Published: (2025)
by: Han, Xia, et al.
Published: (2025)
Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler
by: Hiraki, Daichi, et al.
Published: (2024)
by: Hiraki, Daichi, et al.
Published: (2024)
Multi-period static hedging of European options
by: Banerjee, Purba, et al.
Published: (2023)
by: Banerjee, Purba, et al.
Published: (2023)
A nonparametric test for rough volatility
by: Chong, Carsten H., et al.
Published: (2024)
by: Chong, Carsten H., et al.
Published: (2024)
High-Throughput Asset Pricing
by: Chen, Andrew Y., et al.
Published: (2023)
by: Chen, Andrew Y., et al.
Published: (2023)
Portfolio Optimization with Robust Covariance and Conditional Value-at-Risk Constraints
by: Zhou, Qiqin
Published: (2024)
by: Zhou, Qiqin
Published: (2024)
Forecasting Oil Prices Across the Distribution: A Quantile VAR Approach
by: Bjornland, Hilde C., et al.
Published: (2026)
by: Bjornland, Hilde C., et al.
Published: (2026)
Multivariate Simulation-based Forecasting for Intraday Power Markets: Modelling Cross-Product Price Effects
by: Hirsch, Simon, et al.
Published: (2023)
by: Hirsch, Simon, et al.
Published: (2023)
Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF)
by: Lipiecki, Arkadiusz, et al.
Published: (2025)
by: Lipiecki, Arkadiusz, et al.
Published: (2025)
Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets
by: Jha, Ayush, et al.
Published: (2024)
by: Jha, Ayush, et al.
Published: (2024)
Multiscale Causal Analysis of Market Efficiency via News Uncertainty Networks and the Financial Chaos Index
by: Ataei, Masoud
Published: (2025)
by: Ataei, Masoud
Published: (2025)
Crypto Pricing with Hidden Factors
by: Brigida, Matthew
Published: (2026)
by: Brigida, Matthew
Published: (2026)
High-Dimensional Spatial Arbitrage Pricing Theory with Heterogeneous Interactions
by: Gao, Zhaoxing, et al.
Published: (2025)
by: Gao, Zhaoxing, et al.
Published: (2025)
A Dynamic Approach to Stock Price Prediction: Comparing RNN and Mixture of Experts Models Across Different Volatility Profiles
by: Vallarino, Diego
Published: (2024)
by: Vallarino, Diego
Published: (2024)
Benchmark-Neutral Pricing
by: Platen, Eckhard
Published: (2024)
by: Platen, Eckhard
Published: (2024)
On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices
by: Moriya, Koichiro, et al.
Published: (2023)
by: Moriya, Koichiro, et al.
Published: (2023)
Method of Moments Estimation for Affine Stochastic Volatility Models
by: Wu, Yan-Feng, et al.
Published: (2024)
by: Wu, Yan-Feng, et al.
Published: (2024)
Dynamic Latent-Factor Model with High-Dimensional Asset Characteristics
by: Baybutt, Adam
Published: (2024)
by: Baybutt, Adam
Published: (2024)
A Nonlinear Target-Factor Model with Attention Mechanism for Mixed-Frequency Data
by: Brini, Alessio, et al.
Published: (2026)
by: Brini, Alessio, et al.
Published: (2026)
Modeling Bank Systemic Risk of Emerging Markets under Geopolitical Shocks: Empirical Evidence from BRICS Countries
by: Wang, Haibo
Published: (2025)
by: Wang, Haibo
Published: (2025)
Multivariate Probabilistic CRPS Learning with an Application to Day-Ahead Electricity Prices
by: Berrisch, Jonathan, et al.
Published: (2023)
by: Berrisch, Jonathan, et al.
Published: (2023)
Liquidity Jump, Liquidity Diffusion, and Treatment on Wash Trading of Crypto Assets
by: Deng, Qi, et al.
Published: (2024)
by: Deng, Qi, et al.
Published: (2024)
HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning
by: Audrino, Francesco, et al.
Published: (2024)
by: Audrino, Francesco, et al.
Published: (2024)
Do t-Statistic Hurdles Need to be Raised?
by: Chen, Andrew Y.
Published: (2022)
by: Chen, Andrew Y.
Published: (2022)
Probabilistic Forecasting for Day-ahead Electricity Prices, Battery Trading Strategies and the Economic Evaluation of Predictive Accuracy
by: Hirsch, Simon, et al.
Published: (2026)
by: Hirsch, Simon, et al.
Published: (2026)
Dynamic Risk in the U.S. Banking System: An Analysis of Sentiment, Policy Shocks, and Spillover Effects
by: Wang, Haibo, et al.
Published: (2026)
by: Wang, Haibo, et al.
Published: (2026)
Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation
by: Jha, Ayush, et al.
Published: (2025)
by: Jha, Ayush, et al.
Published: (2025)
Adaptive Market Intelligence: A Mixture of Experts Framework for Volatility-Sensitive Stock Forecasting
by: Vallarino, Diego
Published: (2025)
by: Vallarino, Diego
Published: (2025)
What events matter for exchange rate volatility ?
by: Martins, Igor, et al.
Published: (2024)
by: Martins, Igor, et al.
Published: (2024)
Dynamic Evolution of Corporate Emissions Determinants
by: Kapetanios, George, et al.
Published: (2026)
by: Kapetanios, George, et al.
Published: (2026)
One Factor to Bind the Cross-Section of Returns
by: Borri, Nicola, et al.
Published: (2024)
by: Borri, Nicola, et al.
Published: (2024)
The fine structure of electricity price volatility
by: Kloster, Thomas K., et al.
Published: (2026)
by: Kloster, Thomas K., et al.
Published: (2026)
Deep self-consistent learning of local volatility
by: Wang, Zhe, et al.
Published: (2021)
by: Wang, Zhe, et al.
Published: (2021)
Similar Items
-
Does the Market Anticipate? Can it? Should it?
by: Wren, Kangda Ken
Published: (2026) -
Dynamically Consistent Analysis of Realized Covariations in Term Structure Models
by: Schroers, Dennis
Published: (2024) -
Option Pricing under Stochastic Volatility and Jumps:A PIDE Framework with Empirical Evidence
by: Mensah, Abigail Anokyewaa, et al.
Published: (2026) -
To be or not to be: Roughness or long memory in volatility?
by: Bennedsen, Mikkel, et al.
Published: (2024) -
Do News and Social Media Tell the Same Story? Constructing and Comparing Sentiment Spillover Networks
by: Wu, Fan, et al.
Published: (2026)