Equal risk pricing and hedging of financial derivatives with convex risk measures-Reference-Cited by-同舟云学术

Equal risk pricing and hedging of financial derivatives with convex risk measures

Published:2021-11-29 Issue:1 Volume:22 Page:47-73
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Marzban Saeed¹,Delage Erick¹^ORCID,Li Jonathan Yu-Meng²^ORCID

Affiliation:

1. GERAD & Department of Decision Sciences, HEC Montréal QC, Montréal H3T 2A7, Canada

2. Telfer School of Management, University of Ottawa, Ottawa, ON K1N 6N5, Canada

Funder

Canada Research Chair in Sexual and Gender Minority Health

Natural Sciences and Engineering Research Council of Canada

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.1993614

Reference31 articles.

1. Jump Diffusion Option Valuation in Discrete Time

2. Coherent Measures of Risk

3. Robust option pricing

4. Bernhard, P., A robust control approach to option pricing. In Robust Decision Theory and Ambiguity in Finance, edited by M. Salmon, 2003 (City University Press: London).

5. The Interval Market Model in Mathematical Finance

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