Conditional coherent risk measures and regime-switching conic pricing  

作　　者：Engel John C Dela Vega Robert J Elliott 

机构地区：[1]UniSA Business,University of South Australia,SA 5000 Adelaide,Australia [2]Haskayne School of Business,University of Calgary,Calgary,Alberta,T2N 1N4,Canada

出　　处：《Probability, Uncertainty and Quantitative Risk》2021年第4期267-300,共34页概率、不确定性与定量风险（英文）

摘　　要：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.

关 键 词：Conditional coherent risk measures Markov chains REGIME-SWITCHING Conic finance European options Distortion functions Conic quantization 

分 类 号：F42[经济管理—产业经济]