Risk Measure Pricing and Hedging in Incomplete Markets
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- Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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More about this item
KeywordsPricing and Hedging; Incomplete Markets; Dynamic Shortfall Risk; Average Value at Risk; Utility Indifference Pricing; Convex Measure of Risk; Coherent Risk Measure; Risk-Efficient Options; Semimartingale Models;
- G - Financial Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-06-13 (All new papers)
- NEP-CFN-2004-06-13 (Corporate Finance)
- NEP-FIN-2004-06-13 (Finance)
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