Analytical approximation for distorted expectations
From MaRDI portal
Publication:900958
DOI10.1016/j.spl.2015.09.004zbMath1356.60030OpenAlexW3125658776MaRDI QIDQ900958
Xianming Sun, Michèle Vanmaele, Si-qing Gan
Publication date: 23 December 2015
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://biblio.ugent.be/publication/6936023
Related Items (2)
Robustness of quadratic hedging strategies in finance via Fourier transforms ⋮ Model risk and discretisation of locally risk-minimising strategies
Cites Work
- Unnamed Item
- A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
- Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach
- Weighted V\@R and its properties
- Remarks on quantiles and distortion risk measures
- Elicitable distortion risk measures: a concise proof
- Asymptotics of the risk concentration based on the tail distortion risk measure
- Coherent Measures of Risk
- Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
- Stochastic Finance
- MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
- A Universal Framework for Pricing Financial and Insurance Risks
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Balanced Milstein Methods for Ordinary SDEs
This page was built for publication: Analytical approximation for distorted expectations