Risk arbitrage and hedging to acceptability under transaction costs

DOI10.1007/s00780-020-00434-3zbMath1461.91317arXiv1605.07884OpenAlexW3113487101MaRDI QIDQ2022757

Ilya S. Molchanov, Emmanuel Lépinette

Publication date: 29 April 2021

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.07884

zbMATH Keywords

transaction costsrisk measureacceptance setrandom setgood dealsuperhedgingrisk arbitragesolvency set

Mathematics Subject Classification ID

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

Related Items (3)

COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION ⋮ Nonlinear expectations of random sets ⋮ Set-valued risk measures as backward stochastic difference inclusions and equations

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