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Option returns - MaRDI portal

Option returns (Q6134137)

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scientific article; zbMATH DE number 7716481
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English
Option returns
scientific article; zbMATH DE number 7716481

    Statements

    title
    Option returns (English)
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    author
    Dilip B. Madan
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    Wim Schoutens
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    King-Hang Wang
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    publication date
    25 July 2023
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    zbMATH Keywords
    measure distortions
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    backward stochastic partial integro-differential equations
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    bilateral gamma process
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    risk exposures
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    risk charges
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    35R60
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    45K05
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    60G46
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    zbMATH DE Number
    7716481
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    OpenAlex ID
    W4361807700
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    DOI
    10.3934/FMF.2023007
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