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FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES - MaRDI portal

FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES (Q5247426)

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scientific article; zbMATH DE number 6430120
Language Label Description Also known as
English
FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES
scientific article; zbMATH DE number 6430120

    Statements

    title
    FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES (English)
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    author
    Ronnie Sircar
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    Stephan Sturm
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    publication date
    24 April 2015
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    zbMATH Keywords
    dynamic convex risk measures
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    volatility skew
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    stochastic volatility models
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    indifference pricing
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    backward stochastic differential equations
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    Identifiers

    DOI
    10.1111/mafi.12015
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    Mathematics Subject Classification ID
    91G20
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    91B30
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    91B70
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    60H30
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    zbMATH DE Number
    6430120
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    OpenAlex ID
    W2770451777
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    arXiv ID
    1107.4632
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