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Yang et al., 2001 - Google Patents

Coherent risk measures for derivatives under Black–Scholes economy

Yang et al., 2001

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Document ID
13917783451662333473
Author
Yang H
Siu T
Publication year
Publication venue
International Journal of Theoretical and Applied Finance

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Snippet

This paper proposes a risk measure for a portfolio of European-style derivative securities over a fixed time horizon under the Black–Scholes economy. The proposed risk measure is scenario-based along the same line as [3]. The risk measure is constructed by using the risk …
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