Pricing under dynamic risk measures

DOI10.1515/MATH-2019-0070MaRDI QIDQ2278417zbMATH OpenOpenAlexFDO

Authors Jun Zhao, Peibiao Zhao, Emmanuel Lépinette

Publication date 5 December 2019

Published in Open Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/math-2019-0070

zbMATH Keywords

absence of immediate profitdynamic risk measurespricingsuper-hedgingtime consistency

Mathematics Subject Classification ID

Set-valued and variational analysis (49J53) Geometric probability and stochastic geometry (60D05) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

• A general version of the fundamental theorem of asset pricing
• Conditional and dynamic convex risk measures
• Conditional cores and conditional convex hulls of random sets
• Core of convex distortions of a probability.
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Dynamic risk measures
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Essential supremum and essential maximum with respect to random preference relations
• Essential supremum with respect to a random partial order
• scientific article; zbMATH DE number 1619455 (Why is no real title available?)
• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• Markets with transaction costs. Mathematical theory.
• Martingales and stochastic integrals in the theory of continuous trading
• On convex risk measures on \(L^{p}\)-spaces
• Pricing and hedging European options with discrete-time coherent risk
• Pricing with Coherent Risk
• The fundamental theorem of asset pricing for unbounded stochastic processes
• The mathematics of arbitrage
• Update rules for convex risk measures
• Weighted V\@R and its properties

Cited in

(23)

• Sublinear price functionals under portfolio constraints
• Time consistent pricing of options with embedded decisions
• Pricing without no-arbitrage condition in discrete time
• Updating pricing rules
• Pricing and hedging European options with discrete-time coherent risk
• Determination of risk pricing measures from market prices of risk
• Pricing and valuation under the real-world measure
• Risk adjustments of option prices under time-changed dynamics
• Fully-dynamic risk-indifference pricing and no-good-deal bounds
• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
• Dynamic no-good-deal pricing measures and extension theorems for linear operators on L^
• On the price of risk in a mean-risk optimization model
• Pricing under rough volatility
• Coherent risk measure on \(L^0\): NA condition, pricing and dual representation
• Short communication: Super-replication prices with multiple priors in discrete time
• Compatibility between pricing rules and risk measures: The CCVaR
• Risk-averse dynamic pricing using mean-semivariance optimization
• Risk-hedging a European option with a convex risk measure and without no-arbitrage condition
• Risk-neutral pricing for arbitrage pricing theory
• Existence and uniqueness of martingale solutions to option pricing equations with noise
• Pricing and hedging in the presence of extraneous risks
• Dynamic asset pricing with non-redundant forwards
• Dynamic asset pricing theory with uncertain time-horizon

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