Estimating financial risk measures for options-Reference-Cited by-同舟云学术

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Estimating financial risk measures for options

Published:2010-08 Issue:8 Volume:34 Page:1982-1992
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Sorwar Ghulam,Dowd Kevin

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference19 articles.

1. Coherent representations of subjective risk-aversion;Acerbi,2004

2. Spectral risk measures and portfolio selection;Adam;Journal of Banking and Finance,2008

3. Coherent measures of risk;Artzner;Mathematical Finance,1999

4. Option valuation using a three-jump process;Boyle;International Options Journal,1986

5. Bumping up against the barrier with the binomial method;Boyle;Journal of Derivatives,1994

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