Put option premiums and coherent risk measures

Mathematical Finance

Volumn 12, Issue 2, 2002, Pages 135-142

  Jarrow, Robert ^a  

^a SAS Institute Inc   (United States)

Author keywords

Coherent risk measures; Insolvency; Insurance risk measures; Put options; Risk measures

Indexed keywords

EID: 0036005428     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.02003     Document Type: Article

References (2)

1. Definition of coherent measures of risk
2. Coherent measures of risk