Risk measure pricing and hedging in incomplete markets

Annals of Finance

Volumn 2, Issue 1, 2006, Pages 51-71

  Xu, Mingxin ^a  

^a UNIVERSITY OF NORTH CAROLINA AT CHARLOTTE   (United States)

Author keywords

Average value at risk; Coherent risk measure; Convex measure of risk; Derivative pricing; Dynamic shortfall risk; Incomplete markets; Risk indifference pricing; Risk efficient options; Semimartingale models; Utility indifference pricing; Valuation and hedging

Indexed keywords

EID: 29444435218     PISSN: 16142446     EISSN: 16142454     Source Type: Journal    
DOI: 10.1007/s10436-005-0023-x     Document Type: Article

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