Dynamic utility-based good deal bounds

DOI10.1524/STND.2007.0905zbMath1140.91396OpenAlexW2075030776MaRDI QIDQ3519373

Susanne Klöppel, Martin Schweizer

Publication date: 14 August 2008

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/8c84fcba6bb180f05c8de850b2077ba18ecaa922

zbMATH Keywords

Lévy processesdualityincomplete marketsvaluation boundsgood dealsdynamic propertiespricing kernel restrictionsutility-based

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (13)

Good-Deal Bounds in a Regime-Switching Diffusion Market ⋮ Dynamic no-good-deal pricing measures and extension theorems for linear operators on \(L^\infty\) ⋮ Hedging under generalized good-deal bounds and model uncertainty ⋮ Fundamental theorem of asset pricing with acceptable risk in markets with frictions ⋮ Duality Formulas for Robust Pricing and Hedging in Discrete Time ⋮ Pricing and hedging basis risk under no good deal assumption ⋮ DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES ⋮ Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps ⋮ Good deal hedging and valuation under combined uncertainty about drift and volatility ⋮ Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk ⋮ INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS ⋮ Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR ⋮ CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS

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