The existence of the risk-efficient options

DOI10.7468/JKSMEB.2014.21.4.307MaRDI QIDQ2940222zbMATH OpenOpenAlexFDO

Authors Ju Hong Kim

Publication date 26 January 2015

Published in The Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.7468/jksmeb.2014.21.4.307

zbMATH Keywords

incomplete marketoptimal solutionrisk measures

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

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(2)

• Optimal risk adoption: a real options approach
• Efficient option risk measurement with reduced model risk

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