Bounding contingent claim prices via hedging strategy with coherent risk measures (Q662867)
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English | Bounding contingent claim prices via hedging strategy with coherent risk measures |
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Bounding contingent claim prices via hedging strategy with coherent risk measures (English)
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13 February 2012
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The authors study a mathematical optimization approach for narrowing and closing the gap between the upper and lower bounds of the price of contigent claims in incomplete markets. For this purpose they replace the traditional no-risk condition with an alternative condition associated with a coherent risk measure. The authors also show that computing the price bounds based on a coherent risk measure links to a robust optimization.
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incomplete market
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option price bounds
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coherent risk measures
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hedging strategy
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semi-infinite linear optimization
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