COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY

DOI10.1142/S0219024901001267MaRDI QIDQ3523604zbMATH OpenFDO

Authors Hailiang Yang, Tak Kuen Siu

Publication date 3 September 2008

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

coherent risk measuresubjective probability measuresrisk-neutral probability measureBlack--Scholes modelphysical probability measure

Mathematics Subject Classification ID

Special types of economic markets (including Cournot, Bertrand) (91B54) Stochastic models in economics (91B70)

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Cites work

• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Nonparametric risk management and implied risk aversion
• On dynamic measure of risk
• Pricing Options With Curved Boundaries¹
• Step options.
• The pricing of options and corporate liabilities

Cited in

(9)

• A functional Itô's calculus approach to convex risk measures with jump diffusion
• Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
• Risk measures for derivatives with Markov-modulated pure jump processes
• A game theoretic approach to option valuation under Markovian regime-switching models
• An HMM approach for optimal investment of an insurer
• A BSDE approach to convex risk measures for derivative securities
• A PDE approach for risk measures for derivatives with regime switching
• Optimal asset allocation: a worst scenario expectation approach
• Optimal asset allocation: risk and information uncertainty

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