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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..

Suggested Citation

  • Robert Jarrow, 2002. "Put Option Premiums and Coherent Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 12(2), pages 135-142.
  • Handle: RePEc:bla:mathfi:v:12:y:2002:i:2:p:135-142
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    References listed on IDEAS

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    1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    2. Tomas Björk & Yuri Kabanov & Wolfgang Runggaldier, 1997. "Bond Market Structure in the Presence of Marked Point Processes," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 211-239.
    3. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, pages 573-592.
    4. Hiroshi Shirakawa, 1991. "Interest Rate Option Pricing With Poisson-Gaussian Forward Rate Curve Processes," Mathematical Finance, Wiley Blackwell, pages 77-94.
    5. Jorion, Philippe, 1995. " Predicting Volatility in the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 50(2), pages 507-528, June.
    6. Alan Brace & Marek Musiela, 1994. "A Multifactor Gauss Markov Implementation Of Heath, Jarrow, And Morton," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 259-283.
    7. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
    8. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
    9. Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November.
    10. Ho, Thomas S Y & Lee, Sang-bin, 1986. " Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-1029, December.
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    Citations

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    Cited by:

    1. Rama Cont & Romain Deguest & Xuedong He, 2011. "Loss-Based Risk Measures," Working Papers hal-00629929, HAL.
    2. Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany.
    3. Ignacio Cascos & Ilya Molchanov, 2006. "Multivariate risks and depth-trimmed regions," Papers math/0606520, arXiv.org, revised Nov 2006.
    4. Nicole El Karoui & Claudia Ravanelli, 2007. "Cash Sub-additive Risk Measures and Interest Rate Ambiguity," Papers 0710.4106, arXiv.org.
    5. 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, pages 255-260.
    6. Robert Jarrow, 2013. "Capital adequacy rules, catastrophic firm failure, and systemic risk," Review of Derivatives Research, Springer, pages 219-231.
    7. Nicole EL KAROUI & Claudia RAVANELLI, 2008. "Cash Sub-additive Risk Measures and Interest Rate Ambiguity," Swiss Finance Institute Research Paper Series 08-09, Swiss Finance Institute.
    8. Koch-Medina, Pablo & Moreno-Bromberg, Santiago & Munari, Cosimo, 2015. "Capital adequacy tests and limited liability of financial institutions," Journal of Banking & Finance, Elsevier, vol. 51(C), pages 93-102.
    9. Cascos, Ignacio & Molchanov, Ilya, 2006. "Multivariate risks and depth-trimmed regions," DES - Working Papers. Statistics and Econometrics. WS ws063815, Universidad Carlos III de Madrid. Departamento de Estadística.
    10. Robert Jarrow & Feng Zhao, 2006. "Downside Loss Aversion and Portfolio Management," Management Science, INFORMS, pages 558-566.
    11. Cont Rama & Deguest Romain & He Xue Dong, 2013. "Loss-based risk measures," Statistics & Risk Modeling, De Gruyter, pages 133-167.
    12. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
    13. Rama Cont & Romain Deguest & Xuedong He, 2011. "Loss-Based Risk Measures," Papers 1110.1436, arXiv.org, revised Apr 2013.

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