FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES

DOI10.1111/mafi.12015zbMath1314.91215arXiv1107.4632OpenAlexW2770451777MaRDI QIDQ5247426

Ronnie Sircar, Stephan Sturm

Publication date: 24 April 2015

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.4632

zbMATH Keywords

backward stochastic differential equationsstochastic volatility modelsindifference pricingdynamic convex risk measuresvolatility skew

Mathematics Subject Classification ID

Related Items (7)

Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver ⋮ Time-Coherent Risk Measures for Continuous-Time Markov Chains ⋮ Continuous equilibrium in affine and information-based capital asset pricing models ⋮ INDIFFERENCE PRICES AND IMPLIED VOLATILITIES ⋮ Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ Robust Portfolio Choice and Indifference Valuation

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