Equal risk pricing and hedging of financial derivatives with convex risk measures
Year of publication: |
2022
|
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Authors: | Marzban, Saeed ; Delage, Erick ; Li, Jonathan Yu-Meng |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 1, p. 47-73
|
Subject: | Convex risk measures | Dynamic programming | Incomplete market | Numerical optimization | Option pricing | Risk hedging | Hedging | Risiko | Risk | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Risikomaß | Risk measure | Unvollkommener Markt | Messung | Measurement | Portfolio-Management | Portfolio selection | Entscheidung unter Risiko | Decision under risk |
Type of publication: | Article |
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Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1080/14697688.2021.1993614 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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