COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY

DOI10.1142/S0219024901001267zbMath1153.91606MaRDI QIDQ3523604

Hailiang Yang, Tak Kuen Siu

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

coherent risk measuresubjective probability measuresrisk-neutral probability measureBlack--Scholes modelphysical probability measure

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Special types of economic markets (including Cournot, Bertrand) (91B54)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Nonparametric risk management and implied risk aversion
• On dynamic measure of risk
• Step Options
• Pricing Options With Curved Boundaries¹