Evaluation method of risk and value under multi-dimensional Levy process models.

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W e have investigated value measures for the evaluation of financial assets. We have introduced the “risk sensitive value measure (RSVM)”, and studied some properties of this value measure. We have found that the RSVM has many good properties, for example, this measure is evaluating both the risk and the value of an asset, and this measure can be applied to the evaluation of scale risk of an asset. We have showed that this value measure can be extended into the dynamic form, and we have given some examples of the methods how to apply this value measure to practical evaluation problems.