Similar Search Results

Exotic derivatives and risk : theory, extensions and applications

Bellalah, Mondher - 2009

Persistent link: https://www.econbiz.de/10003774329

No more replicating portfolios : a simple convex combination to understand the risk-neutral valuation method for the multi-step binomial valuation of a call option

Mercken, Roger; Motmans, Lisette; Houben, Ghislain - In: EuroEconomica (2010) 1, pp. 63-70

Persistent link: https://www.econbiz.de/10008697872

Cash subadditive risk measures and interest rate ambiguity

El Karoui, Nicole; Ravanelli, Claudia - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 561-590

Persistent link: https://www.econbiz.de/10003937131

Risk-neutral valuation : pricing and hedging of financial derivatives

Bingham, Nicholas H.; Kiesel, Rüdiger - 1998

Persistent link: https://www.econbiz.de/10008729669

Cash sub-additive risk measures and interest rate ambiguity

El Karoui, Nicole; Ravanelli, Claudia - 2008

A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire of...

Persistent link: https://www.econbiz.de/10003961489