Pricing and hedging European options with discrete-time coherent risk

Alexander Cherny ()

Finance and Stochastics, 2007, vol. 11, issue 4, 537-569

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; 91B30; 91B70; G13; G32 (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s00780-007-0050-8

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