Risk-hedging a European option with a convex risk measure and without no-arbitrage condition-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Risk-hedging a European option with a convex risk measure and without no-arbitrage condition

Published:2022-04-01 Issue:1 Volume:95 Page:118-155
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Lepinette Emmanuel¹²,Zhao Jun³

Affiliation:

1. Ceremade, UMR CNRS 7534, Paris Dauphine University, Paris cedex 16, France

2. Faculté des Sciences de Tunis GOSAEF, Tunis, Tunisia

3. Department of Applied Mathematics, Nanjing University of Science and Technology, Nanjing, Jiangsu, People's Republic of China

Funder

National Natural Science Foundation of China

Grant-in-Aid for Scientific Research from Nanjing University of Science and Technology

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442508.2022.2055966

Reference44 articles.

1. B. Acciao and I. Penner, Dynamic convex risk measures, in Advanced Mathematical Methods for Finance, G. Di Nunno and B. Øksendal, eds., Springer, 2011.

2. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

3. J. Baptiste, L. Carassus, and E. Lépinette, Pricing without martingale measure, preprint (2018). Available at https://hal.archives-ouvertes.fr/hal-01774150.

4. Generalized autoregressive conditional heteroskedasticity

5. A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Conditional indicators;Quaestiones Mathematicae;2024-05-08

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3