Conditional coherent risk measures and regime-switching conic pricing

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2021-01-01 DOI:10.3934/puqr.2021014

E. J. C. Dela Vega, R. Elliott

引用次数: 1

Abstract

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.

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条件相干风险度量和制度转换的二次定价

本文将条件相干风险测度引入并表示为条件期望在概率测度的凸集上的本质上的先验，以及给定凹畸变函数的扭曲期望。然后，通过一个圆锥公式为欧式资产的买入价和卖出价开发了一个模型。价格过程由修正的几何布朗运动控制，其漂移和扩散系数依赖于马尔可夫链。然后，欧式资产的买入价和卖出价使用经济量化来表征。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.