Conditional coherent risk measures and regime-switching conic pricing
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Publication:2671647
DOI10.3934/puqr.2021014zbMath1490.60220OpenAlexW3217724733MaRDI QIDQ2671647
Engel John C. Dela Vega, Robert J. Elliott
Publication date: 3 June 2022
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/puqr.2021014
Markov chainsEuropean optionsregime-switchingdistortion functionsconic financeconditional coherent risk measuresconic quantization
Statistical methods; risk measures (91G70) Continuous-time Markov processes on discrete state spaces (60J27)
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Cites Work
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