Coherent risk measure for derivatives under Black-Scholes economy with regime switching (English)
- New search for: Hao, Fangcheng
- New search for: Yang, Hailiang
- New search for: Liu, Shuangzhe
- New search for: Hao, Fangcheng
- New search for: Yang, Hailiang
In:
Managerial Finance
;
37
, 11
;
1011-1024
;
2011
-
ISSN:
- Article (Journal) / Electronic Resource
-
Title:Coherent risk measure for derivatives under Black-Scholes economy with regime switching
-
Contributors:
-
Published in:Managerial Finance ; 37, 11 ; 1011-1024
-
Publisher:
- New search for: Emerald Group Publishing Limited
-
Publication date:2011-09-27
-
Size:14 pages
-
ISSN:
-
DOI:
-
Type of media:Article (Journal)
-
Type of material:Electronic Resource
-
Language:English
-
Keywords:
-
Source:
Table of contents – Volume 37, Issue 11
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 978
-
Traded American options are BermudanKourtis, Apostolos / Markellos, Raphael N. et al. | 2011
- 985
-
Using Black-Scholes to determine an optimal funding termGay, Roger et al. | 2011
- 995
-
Weather risk swap valuationKariya, Takeaki et al. | 2011
- 1011
-
Coherent risk measure for derivatives under Black-Scholes economy with regime switchingHao, Fangcheng / Yang, Hailiang et al. | 2011
- 1025
-
Bond valuation under a discrete-time regime-switching term-structure model and its continuous-time extensionElliott, Robert J. / Kuen Siu, Tak / Badescu, Alex et al. | 2011
- 1048
-
Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIXIshida, Isao / McAleer, Michael / Oya, Kosuke et al. | 2011
- 1068
-
A three-factor valuation model for mortgage-backed securities (MBS)Kariya, Takeaki / Ushiyama, Fumiaki / Pliska, Stanley R. et al. | 2011
- 1088
-
Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futuresChang, Chia-lin / Jiménez-Martín, Juan-Ángel / McAleer, Michael / Pérez-Amaral, Teodosio et al. | 2011
-
Recent advances in financial derivativesLiu, Shuangzhe / Sathye, Milind et al. | 2011