3 citations · 5 across the 2 of their papers we have counts for
2 papers
q-fin.RM2014★ 2 cited
Risk measures with the CxLS property
Freddy Delbaen, Fabio Bellini, Valeria Bignozzi +1
In the present contribution we characterize law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (200…
q-fin.PR2014★ 3 cited
Option Pricing in a Dynamic Variance-Gamma Model
Lorenzo Mercuri, Fabio Bellini
We present a discrete time stochastic volatility model in which the conditional distribution of the logreturns is a Variance-Gamma, that is a normal variance-mean mixture with Gamm…