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 |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005542182