Deep Equal Risk Pricing of Financial Derivatives with Non-Translation Invariant Risk Measures
The objective is to study the use of non-translation invariant risk measures within the equal risk pricing (ERP) methodology for the valuation of financial derivatives. The ability to move beyond the class of convex risk measures considered in several prior studies provides more flexibility within t...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-08-01
|
| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/11/8/140 |