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Put Option Premiums and Coherent Risk Measures

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  • Robert Jarrow

Abstract

put options , risk measures , insolvency ,coherent risk measures , insurance risk measures "Manuscript received March 2000; final revision received February 2001." Copyright 2002 Blackwell Publishing, Inc. 350 Main St., Malden, MA 02148, USA, and 108 Cowley Road,Oxford, OX4, 1JF, UK..

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Mathematical Finance.

Volume (Year): 12 (2002)
Issue (Month): 2 ()
Pages: 135-142

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Handle: RePEc:bla:mathfi:v:12:y:2002:i:2:p:135-142

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627

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Cited by:
  1. Nicole El Karoui & Claudia Ravanelli, 2007. "Cash Sub-additive Risk Measures and Interest Rate Ambiguity," Papers 0710.4106, arXiv.org.
  2. Rama Cont & Romain Deguest & Xuedong He, 2011. "Loss-Based Risk Measures," Papers 1110.1436, arXiv.org, revised Apr 2013.
  3. Robert Jarrow, 2013. "Capital adequacy rules, catastrophic firm failure, and systemic risk," Review of Derivatives Research, Springer, vol. 16(3), pages 219-231, October.
  4. Zhou, Chunyang & Wu, Chongfeng & Zhang, Shengping & Huang, Xuejun, 2008. "An optimal insurance strategy for an individual under an intertemporal equilibrium," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 255-260, February.
  5. Ignacio Cascos & Ilya Molchanov, 2006. "Multivariate risks and depth-trimmed regions," Papers math/0606520, arXiv.org, revised Nov 2006.
  6. Ignacio Cascos & Ilya Molchanov, 2006. "Multivariate Risks And Depth-Trimmed Regions," Statistics and Econometrics Working Papers ws063815, Universidad Carlos III, Departamento de Estadística y Econometría.
  7. Rama Cont & Romain Deguest & Xuedong He, 2011. "Loss-Based Risk Measures," Working Papers hal-00629929, HAL.
  8. Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany.

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