A PDE approach to risk measures of derivatives

DOI10.1080/13504860110045741zbMath1013.91060OpenAlexW2141911099MaRDI QIDQ4541597

Tak Kuen Siu, Hailiang Yang

Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860110045741

zbMATH Keywords

American optionstransaction costscoherent risk measuressubjective probability measuresphysical probability measure

Mathematics Subject Classification ID

Related Items (10)

Backward stochastic difference equations for dynamic convex risk measures on a binomial tree ⋮ A functional Itô's calculus approach to convex risk measures with jump diffusion ⋮ Risk measures for derivatives with Markov-modulated pure jump processes ⋮ Markovian forward-backward stochastic differential equations and stochastic flows ⋮ Optimal asset allocation: a worst scenario expectation approach ⋮ A game theoretic approach to option valuation under Markovian regime-switching models ⋮ A PDE approach for risk measures for derivatives with regime switching ⋮ Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options ⋮ An HMM approach for optimal investment of an insurer ⋮ A BSDE Approach to Convex Risk Measures for Derivative Securities

Uses Software

• RiskMetrics

Cites Work

• Mathematics of financial markets
• Quantile hedging
• On dynamic measure of risk
• Coherent Measures of Risk
• Pricing Options With Curved Boundaries¹
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