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Article: A PDE approach to risk measures of derivatives

TitleA PDE approach to risk measures of derivatives
Authors
KeywordsCoherent Risk Measures
American Options
Physical Probability Measure
Subjective Probability Measures
Transaction Costs
Issue Date2000
PublisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/routledge/1350486x.html
Citation
Applied Mathematical Finance, 2000, v. 7 n. 3, p. 211-228 How to Cite?
AbstractThis paper proposes a partial differential equation (PDE) approach to calculate coherent risk measures for portfolios of derivatives under the Black-Scholes economy. It enables us to define the risk measures in a dynamic way and to deal with American options in a relatively effective way. Our risk measure is based on the representation form of coherent risk measures. Through the use of some earlier results the PDE satisfied by the risk measures are derived. The PDE resembles the standard Black-Scholes type PDE which can be solved using standard techniques from the mathematical finance literature. Indeed, these results reveal that the PDE approach can provide practitioners with a more applicable and flexible way to implement coherent risk measures for derivatives in the context of the Black-Scholes model.
Persistent Identifierhttp://hdl.handle.net/10722/83031
ISSN
2015 SCImago Journal Rankings: 0.545

 

DC FieldValueLanguage
dc.contributor.authorSiu, TK-
dc.contributor.authorYang, H-
dc.date.accessioned2010-09-06T08:36:08Z-
dc.date.available2010-09-06T08:36:08Z-
dc.date.issued2000-
dc.identifier.citationApplied Mathematical Finance, 2000, v. 7 n. 3, p. 211-228-
dc.identifier.issn1350-486X-
dc.identifier.urihttp://hdl.handle.net/10722/83031-
dc.description.abstractThis paper proposes a partial differential equation (PDE) approach to calculate coherent risk measures for portfolios of derivatives under the Black-Scholes economy. It enables us to define the risk measures in a dynamic way and to deal with American options in a relatively effective way. Our risk measure is based on the representation form of coherent risk measures. Through the use of some earlier results the PDE satisfied by the risk measures are derived. The PDE resembles the standard Black-Scholes type PDE which can be solved using standard techniques from the mathematical finance literature. Indeed, these results reveal that the PDE approach can provide practitioners with a more applicable and flexible way to implement coherent risk measures for derivatives in the context of the Black-Scholes model.-
dc.languageeng-
dc.publisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/routledge/1350486x.html-
dc.relation.ispartofApplied Mathematical Finance-
dc.rightsPreprint: This is an Author's Original Manuscript of an article published by Taylor & Francis Group in [JOURNAL TITLE] on [date of publication], available online: http://www.tandfonline.com/doi/abs/[Article DOI]. Postprint: This is an Accepted Manuscript of an article published by Taylor & Francis Group in [JOURNAL TITLE] on [date of publication], available online at: http://www.tandfonline.com/doi/abs/[Article DOI]. -
dc.subjectCoherent Risk Measures-
dc.subjectAmerican Options-
dc.subjectPhysical Probability Measure-
dc.subjectSubjective Probability Measures-
dc.subjectTransaction Costs-
dc.titleA PDE approach to risk measures of derivatives-
dc.typeArticle-
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1350-486X&volume=7&issue=3&spage=211&epage=228&date=2001&atitle=A+P.D.E.+approach+for+risk+measures+of+derivativesen_HK
dc.identifier.emailYang, H: hlyang@hkusua.hku.hk-
dc.identifier.authorityYang, H=rp00826-
dc.identifier.doi10.1080/13504860110045741-
dc.identifier.hkuros65329-
dc.identifier.volume7-
dc.identifier.issue3-
dc.identifier.spage211-
dc.identifier.epage228-
dc.publisher.placeUnited Kingdom-

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