Risk measure pricing and hedging in incomplete markets

Mingxin Xu

Annals of Finance, 2006, vol. 2, issue 1, 71 pages

Keywords: Derivative pricing; Valuation and hedging; Incomplete markets; Dynamic shortfall risk; Average value-at-risk; Utility indifference pricing; Convex measure of risk; Coherent risk measure; Risk-efficient options; Semimartingale models; Risk indifference pricing; C60; D46; G13 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (34)

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Working Paper: Risk Measure Pricing and Hedging in Incomplete Markets (2006)
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DOI: 10.1007/s10436-005-0023-x

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