논문KCI 등재
THE EXISTENCE OF THE RISK-EFFICIENT OPTIONS
한국수학교육학회|2014.11|이론수학과 교직수학 (Theoretical Mathematics and Pedagogical Mathematics)|제21권 제4호|pp. 307-316
4
조회
0
다운로드
0
인용
0
참고문헌
키워드
주제분류수학
초록
We prove the existence of the risk-efficient options proposed by Xu ［7］. The proof is given by both indirect and direct ways. Schied ［6］ showed the existence of the optimal solution of equation （2.1）. The one is to use the Schied's result. The other one is to find the sequences converging to the risk-efficient option.
Abstract
We prove the existence of the risk-efficient options proposed by Xu ［7］. The proof is given by both indirect and direct ways. Schied ［6］ showed the existence of the optimal solution of equation （2.1）. The one is to use the Schied's result. The other one is to find the sequences converging to the risk-efficient option.
참고문헌 (7)
- P. Artzner, "Coherent measures of risk", Mathe-matical Finance, 9, pp.203~223 (1999)
- F. Biagini, "Utility maximization in incomplete markets for unbounded processes", Finance and Stochastics, 9, pp.493~517 (1999)
- F. Delbaen, "Coherent risk measures on general probability spaces, Advances in finance and stochastics: Essays in honor of Dieter Sondermann", pp.1~37 (2002), Springer
- F. Delbaen, "A general version of the fundamental theorem of asset pricing", Mathematische Annalen, 300, pp.463~520 (1994)
- H. Follmer, "Stochastic Finance:An Introduction in Discrete Time" (2002), Springer-Verlag
- A. Schied, "On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals", Annals of Applied Probability, 14, pp.1398~1423 (2004)
- Mingxin Xu, "Risk measure pricing and hedging in incomplete markets", Annals of Fi-nance, 2, pp.51~71 (2006)
관련 논문AI추천
SHORTFALL RISK MINIMIZATION: THE DUAL APPROACH김주홍한국수학교육학회 · 이론수학과 교직수학2012 · 제19권 제2호Analytic calculation of european option pricing in stochastic volatility asset model오재필강원경기수학회 · 한국수학논문집2012 · 제20권 제1호A convergence of optimal investment strategies for the HARA utility functions김재희영남수학회 · East Asian Mathematical Journal2015 · 제31권 제1호THE PRIOR SET TAKING A MAXIMAL SCENARIO IN THE REPRESENTATION OF COHERENT RISK MEASURE김주홍한국수학교육학회 · 이론수학과 교직수학2018 · 제25권 제1호Asymptotic Analysis for Portfolio Optimization Problem under Two-Factor Heston’s Stochastic Volatility Model김재희, Sotheara Veng영남수학회 · East Asian Mathematical Journal2018 · 제34권 제1호DYNAMIC RISK MEASURES AND G-EXPECTATION김주홍한국수학교육학회 · 이론수학과 교직수학2013 · 제20권 제4호
이 간행물의 다른 논문 (7건)
Lightlike submanifolds of an indefinite Sasakian manifold with a non-metric θ-connection진대호pp. 229-236Derivations with Nilpotent Values on Γ-ringsBijan Davvaz, Akhil Chandra Paul, Kalyan Kumar Deypp. 237-246Fuzzy relations and Alexandrov L-topologies고정미, 김용찬pp. 247-256ISOPARAMETRIC FUNCTIONS IN S^(4n+3)이재혁, 이서인pp. 257-270Central limit theorem on Chebyshev polynomials안영호pp. 271-279