Analytical approximation for distorted expectations
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A novel pricing method for European options based on Fourier-cosine series expansions
- A Universal Framework for Pricing Financial and Insurance Risks
- Asymptotics of the risk concentration based on the tail distortion risk measure
- Balanced Milstein Methods for Ordinary SDEs
- Coherent measures of risk
- Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach
- Elicitable distortion risk measures: a concise proof
- scientific article; zbMATH DE number 1249106 (Why is no real title available?)
- Markets as a counterparty: an introduction to conic finance
- Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
- Remarks on quantiles and distortion risk measures
- Stochastic finance. An introduction in discrete time.
- Weighted V\@R and its properties
Cited in
(6)- scientific article; zbMATH DE number 50805 (Why is no real title available?)
- Distorted expectiles risk measure and LP formulation
- On bid and ask pricing of European options via direct discretization of Choquet distorted expectations
- Optimal reinsurance maximising dividends as an infinite-dimensional optimisation problem and numerical results
- Model risk and discretisation of locally risk-minimising strategies
- Robustness of quadratic hedging strategies in finance via Fourier transforms
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