Pricing and hedging European options with discrete-time coherent risk
Year of publication: |
2007
|
---|---|
Authors: | Cherny, Alexander |
Published in: |
Finance and Stochastics. - Springer. - Vol. 11.2007, 4, p. 537-569
|
Publisher: |
Springer |
Subject: | Dynamic coherent risk measure | Dynamic tail VaR | Dynamic weighted VaR | Fundamental theorem of asset pricing | Hedging cash flow streams | No good deals | Price contribution | Pricing cash flow streams | Risk management | Risk measurement |
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