Spectral risk measures (SRMs) are risk measures that take account of user risk aversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative approaches based on exponential and power utility...

Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative approaches based on exponential and power utility...

This paper carries out a comparative analysis of the calibration and performance of a variety of options pricing models. These include Black and Scholes (J Polit Econ 81:637–659, <CitationRef CitationID="CR6">1973</CitationRef>), the Gram–Charlier (GC) approach of Backus et al. (<CitationRef CitationID="CR4">1997</CitationRef>), the stochastic volatility (HS) model of Heston...</citationref></citationref>