On Minimizing Risk in Incomplete Markets Option Pricing Models

DOI10.1142/S0219024998000126MaRDI QIDQ4216108zbMATH OpenFDO

Authors Ola Hammarlid

Publication date 28 December 1998

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024998000126

zbMATH Keywords

incomplete marketfair game condition

Mathematics Subject Classification ID

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

Recommendations

• Option pricing in incomplete discrete markets
• Risk measure pricing and hedging in incomplete markets
• Pricing Risky Options Simply
• Continuous-time portfolio selection and option pricing under risk-minimization criterion in an incomplete market

Cites work

• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
• The pricing of options and corporate liabilities

Cited in

(17)

• RISKY OPTIONS SIMPLIFIED
• Elements for a theory of financial risks
• Risk Minimizing Option Pricing in a Semi-Markov Modulated Market
• An introduction to statistical finance
• On the price of risk in a mean-risk optimization model
• Option pricing under residual risk and imperfect hedging
• Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market
• Properties of multinomial lattices with cumulants for option pricing and hedging
• An algorithmic approach to non-self-financing hedging in a discrete-time incomplete market
• Continuous-time portfolio selection and option pricing under risk-minimization criterion in an incomplete market
• Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market
• A time-series approach to non-self-financing hedging in a discrete-time incomplete market
• A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS
• VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING
• DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS
• OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
• Efficient option risk measurement with reduced model risk

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