Risk measure pricing and hedging in incomplete markets
Year of publication: |
2006
|
---|---|
Authors: | Xu, Mingxin |
Published in: |
Annals of Finance. - Springer. - Vol. 2.2006, 1, p. 51-71
|
Publisher: |
Springer |
Subject: | Derivative pricing | Valuation and hedging | Incomplete markets | Dynamic shortfall risk | Average value-at-risk | Utility indifference pricing | Convex measure of risk | Coherent risk measure | Risk-efficient options | Semimartingale models | Risk indifference pricing |
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