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Article: Coherent risk measures for derivatives under Black-Scholes Economy

TitleCoherent risk measures for derivatives under Black-Scholes Economy
Authors
KeywordsCoherent risk measure
Black–Scholes model
Risk-neutral probability measure
Physical probability measure
Subjective probability measures
Issue Date2002
PublisherWorld Scientific Publishing Co Pte Ltd. The Journal's web site is located at http://www.worldscinet.com/ijtaf/ijtaf.shtml
Citation
International Journal of Theoretical and Applied Finance, 2002, v. 4 n. 5, p. 819-835 How to Cite?
AbstractThis paper proposes a risk measure for a portfolio of European-style derivative securities over a fixed time horizon under the Black–Scholes economy. The proposed risk measure is scenario-based along the same line as [3]. The risk measure is constructed by using the risk-neutral probability (-measure), the physical probability (-measure) and a family of subjective probability measures. The subjective probabilities are introduced by using Girsanov's theorem. In this way, we provide risk managers or regulators with the flexibility of adjusting the risk measure according to their risk preferences and subjective beliefs. The advantages of the proposed measure are that it is easy to implement and that it satisfies the four desirable properties introduced in [3], which make it a coherent risk measure. Finally, we incorporate the presence of transaction costs into our framework.
Persistent Identifierhttp://hdl.handle.net/10722/54355
ISSN
2015 SCImago Journal Rankings: 0.628

 

DC FieldValueLanguage
dc.contributor.authorYang, Hen_HK
dc.contributor.authorSiu, TKen_HK
dc.date.accessioned2009-04-03T07:44:21Z-
dc.date.available2009-04-03T07:44:21Z-
dc.date.issued2002en_HK
dc.identifier.citationInternational Journal of Theoretical and Applied Finance, 2002, v. 4 n. 5, p. 819-835en_HK
dc.identifier.issn0219-0249en_HK
dc.identifier.urihttp://hdl.handle.net/10722/54355-
dc.description.abstractThis paper proposes a risk measure for a portfolio of European-style derivative securities over a fixed time horizon under the Black–Scholes economy. The proposed risk measure is scenario-based along the same line as [3]. The risk measure is constructed by using the risk-neutral probability (-measure), the physical probability (-measure) and a family of subjective probability measures. The subjective probabilities are introduced by using Girsanov's theorem. In this way, we provide risk managers or regulators with the flexibility of adjusting the risk measure according to their risk preferences and subjective beliefs. The advantages of the proposed measure are that it is easy to implement and that it satisfies the four desirable properties introduced in [3], which make it a coherent risk measure. Finally, we incorporate the presence of transaction costs into our framework.en_HK
dc.languageengen_HK
dc.publisherWorld Scientific Publishing Co Pte Ltd. The Journal's web site is located at http://www.worldscinet.com/ijtaf/ijtaf.shtmlen_HK
dc.rightsElectronic version of an article published as International Journal of Theoretical and Applied Finance, 2002, v. 4 n. 5, p. 819-835 ©copyright World Scientific Publishing Company http://www.worldscinet.com/ijtaf/ijtaf.shtmlen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectCoherent risk measureen_HK
dc.subjectBlack–Scholes modelen_HK
dc.subjectRisk-neutral probability measureen_HK
dc.subjectPhysical probability measureen_HK
dc.subjectSubjective probability measuresen_HK
dc.titleCoherent risk measures for derivatives under Black-Scholes Economyen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0219-0249&volume=4&issue=5&spage=819&epage=835&date=2002&atitle=Coherent+risk+measures+for+derivatives+under+Black-Scholes+Economyen_HK
dc.identifier.emailYang, H: hlyang@hkusua.hku.hken_HK
dc.description.naturepostprinten_HK
dc.identifier.doi10.1142/S0219024901001267en_HK
dc.identifier.hkuros65325-

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