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Conditional coherent risk measures and regime-switching conic pricing
Probability, Uncertainty and Quantitative Risk ( IF 1.0 ) Pub Date : 2021-01-01 , DOI: 10.3934/puqr.2021014
Engel John C Dela Vega , Robert J Elliott

<p style='text-indent:20px;'>This paper introduces and represents conditional coherent risk measures as essential suprema of conditional expectations over a convex set of probability measures and as distorted expectations given a concave distortion function. A model is then developed for the bid and ask prices of a European-type asset by a conic formulation. The price process is governed by a modified geometric Brownian motion whose drift and diffusion coefficients depend on a Markov chain. The bid and ask prices of a European-type asset are then characterized using conic quantization.</p>

中文翻译:

有条件的一致风险措施和制度转换的圆锥定价

<p style='text-indent:20px;'>本文介绍条件连贯风险度量并将其表示为条件期望对一组凸概率度量的基本至上,以及给定凹扭曲函数的扭曲期望。然后通过圆锥公式为欧洲型资产的买入价和卖出价开发一个模型。价格过程由修正的几何布朗运动控制,其漂移和扩散系数取决于马尔可夫链。然后使用圆锥量化表征欧洲类型资产的买入价和卖出价。</p>
更新日期:2021-01-01
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