COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
DOI10.1142/S0219024901001267zbMATH Open1153.91606MaRDI QIDQ3523604FDOQ3523604
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)
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Cites Work
- The pricing of options and corporate liabilities
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Nonparametric risk management and implied risk aversion
- Step options.
- On dynamic measure of risk
- Pricing Options With Curved Boundaries1
Cited In (9)
- Risk measures for derivatives with Markov-modulated pure jump processes
- A PDE approach for risk measures for derivatives with regime switching
- Optimal asset allocation: risk and information uncertainty
- Optimal asset allocation: a worst scenario expectation approach
- Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
- A game theoretic approach to option valuation under Markovian regime-switching models
- An HMM approach for optimal investment of an insurer
- A functional Itô's calculus approach to convex risk measures with jump diffusion
- A BSDE approach to convex risk measures for derivative securities
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