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~person:"Desmettre, Sascha"
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Desmettre, Sascha
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Good-deal
bounds
for option prices under value-at-risk and expected shortfall constraints
Desmettre, Sascha
;
Laudagé, Christian
;
Sass, Jörn
- In:
Risks
8
(
2020
)
4
,
pp. 1-22
missing convexity of the Value-at-Risk as main reason for this behavior. Due to the strong connection between
good-deal
bounds
…
Persistent link: https://www.econbiz.de/10013200647
Saved in:
2
Good-deal
bounds
for option prices under value-at-risk and expected shortfall constraints
Desmettre, Sascha
;
Laudagé, Christian
;
Sass, Jörn
- In:
Risks : open access journal
8
(
2020
)
4/114
,
pp. 1-22
missing convexity of the Value-at-Risk as main reason for this behavior. Due to the strong connection between
good-deal
bounds
…
Persistent link: https://www.econbiz.de/10012390405
Saved in:
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