Pricing and hedging European options with discrete-time coherent risk

DOI10.1007/s00780-007-0050-8zbMath1145.91032arXivmath/0605049OpenAlexW1967027822MaRDI QIDQ2463721

Alexander S. Cherny

Publication date: 16 December 2007

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0605049

zbMATH Keywords

risk managementfundamental theorem of asset pricingDynamic coherent risk measuredynamic tail VaRdynamic weighted VaRhedging cash flow streamsrisk measuring

Mathematics Subject Classification ID

Related Items (12)

RISK-REWARD OPTIMIZATION WITH DISCRETE-TIME COHERENT RISK ⋮ Existence and uniqueness of martingale solutions to option pricing equations with noise ⋮ COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION ⋮ Risk-hedging a European option with a convex risk measure and without no-arbitrage condition ⋮ Pricing and hedging European options with discrete-time coherent risk ⋮ DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES ⋮ Gain-loss based convex risk limits in discrete-time trading ⋮ Risk arbitrage and hedging to acceptability under transaction costs ⋮ Pricing under dynamic risk measures ⋮ CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ Partial Hedging in Financial Markets with a Large Agent

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