Coherent acceptability measures in multiperiod models

Mathematical Finance

Volumn 15, Issue 4, 2005, Pages 589-612

  Roorda, Berend ^a   Schumacher, J M ^b   Engwerda, Jacob ^b  

^a UNIVERSITY OF TWENTE   (Netherlands)

^b TILBURG UNIVERSITY   (Netherlands)

Author keywords

Acceptability measures; Coherent risk measures; Dynamic consistency; Incomplete markets; Option pricing; Robustness

Indexed keywords

EID: 25644454364     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2005.00252.x     Document Type: Article

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