Corpus ID: 215548264

Quantification of Risk in Classical Models of Finance

@article{Pichler2020QuantificationOR,
  title={Quantification of Risk in Classical Models of Finance},
  author={A. Pichler and Ruben Schlotter},
  journal={arXiv: Mathematical Finance},
  year={2020}
}
This paper enhances the pricing of derivatives as well as optimal control problems to a level comprising risk. We employ nested risk measures to quantify risk, investigate the limiting behavior of nested risk measures within the classical models in finance and characterize existence of the risk-averse limit. As a result we demonstrate that the nested limit is unique, irrespective of the initially chosen risk measure. Within the classical models risk aversion gives rise to a stream of risk… Expand

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