Pricing and hedging European options with discrete-time coherent risk

Finance and Stochastics

Volumn 11, Issue 4, 2007, Pages 537-569

  Cherny, Alexander S ^a  

^a MOSCOW STATE UNIVERSITY   (Russian Federation)

Author keywords

Dynamic coherent risk measure; Dynamic tail VaR; Dynamic weighted VaR; Fundamental theorem of asset pricing; Hedging cash flow streams; No good deals; Price contribution; Pricing cash flow streams; Risk management; Risk measurement

Indexed keywords

EID: 34548065962     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-007-0050-8     Document Type: Article

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