Risk measure pricing and hedging in incomplete markets

DOI10.1007/S10436-005-0023-XzbMath1233.91291OpenAlexW2150733281MaRDI QIDQ665707

Mingxin Xu

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-005-0023-x

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (27)

Existence and uniqueness of martingale solutions to option pricing equations with noise ⋮ Market consistent valuations with financial imperfection ⋮ Equal risk pricing and hedging of financial derivatives with convex risk measures ⋮ Equal risk pricing under convex trading constraints ⋮ Capturing parameter risk with convex risk measures ⋮ Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory ⋮ Risk measure pricing and hedging in the presence of transaction costs ⋮ Actuarial pricing with financial methods ⋮ Optimal Hedging Under Fast-Varying Stochastic Volatility ⋮ GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS ⋮ SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS ⋮ Unnamed Item ⋮ Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds ⋮ Partial equilibria with convex capital requirements: existence, uniqueness and stability ⋮ Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming ⋮ Pricing and hedging European options with discrete-time coherent risk ⋮ Gain-loss based convex risk limits in discrete-time trading ⋮ On dynamic programming equations for utility indifference pricing under delta constraints ⋮ A class of stochastic Fredholm-algebraic equations and applications in finance ⋮ EFFICIENT HEDGING OF EUROPEAN OPTIONS WITH ROBUST CONVEX LOSS FUNCTIONALS: A DUAL-REPRESENTATION FORMULA ⋮ Optimal hedging when the underlying asset follows a regime-switching Markov process ⋮ A maximum principle approach to risk indifference pricing with partial information ⋮ Deep hedging ⋮ RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS ⋮ On the calibration of distortion risk measures to bid-ask prices ⋮ Equal risk pricing of derivatives with deep hedging ⋮ CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS

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