Minimization of shortfall risk in a jump-diffusion model
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References listed on IDEAS
- Yumiharu Nakano, 2003. "Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(2), pages 163-181.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Sabrina Mulinacci, 2011. "The efficient hedging problem for American options," Finance and Stochastics, Springer, vol. 15(2), pages 365-397, June.
- Alexander Melnikov & Yuliya Romanyuk, 2008.
"Efficient Hedging And Pricing Of Equity-Linked Life Insurance Contracts On Several Risky Assets,"
International Journal of Theoretical and Applied Finance (IJTAF),
World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 295-323.
- Alexander Melnikov & Yuliya Romanyuk, 2006. "Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets," Staff Working Papers 06-43, Bank of Canada.
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KeywordsShortfall risk Jump-diffusion model;
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