Pricing under dynamic risk measures

DOI10.1515/MATH-2019-0070zbMATH Open1425.91411OpenAlexW2968404184MaRDI QIDQ2278417FDOQ2278417

Authors: Jun Zhao, Peibiao Zhao, Emmanuel Lépinette 

Publication date: 5 December 2019

Published in: Open Mathematics (Search for Journal in Brave)

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

Recommendations

• Superreplication under model uncertainty in discrete time
• Dynamic risk measures
• scientific article; zbMATH DE number 2171635
• A dynamic version of the super-replication theorem under proportional transaction costs
• On Super-Replication in Discrete Time under Transaction Costs

zbMATH Keywords

pricingsuper-hedgingtime consistencydynamic risk measuresabsence of immediate profit

Mathematics Subject Classification ID

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

Cites Work

• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• Core of convex distortions of a probability.
• Conditional and dynamic convex risk measures
• The mathematics of arbitrage
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Update rules for convex risk measures
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Dynamic risk measures
• Markets with transaction costs. Mathematical theory.
• Martingales and stochastic integrals in the theory of continuous trading
• On convex risk measures on \(L^{p}\)-spaces
• Title not available (Why is that?)
• Weighted V\@R and its properties
• Pricing with Coherent Risk
• Essential supremum with respect to a random partial order
• Essential supremum and essential maximum with respect to random preference relations
• Title not available (Why is that?)
• Pricing and hedging European options with discrete-time coherent risk
• Conditional cores and conditional convex hulls of random sets

Cited In (22)

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

This page was built for publication: Pricing under dynamic risk measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2278417)