FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES (Q5247426)
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scientific article; zbMATH DE number 6430120
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES |
scientific article; zbMATH DE number 6430120 |
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FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES (English)
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24 April 2015
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dynamic convex risk measures
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volatility skew
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stochastic volatility models
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indifference pricing
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backward stochastic differential equations
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