GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS

DOI10.1142/S021902491750011XzbMath1360.91159arXiv1506.00396MaRDI QIDQ2976129

Takuji Arai

Publication date: 13 April 2017

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

Full work available at URL: https://arxiv.org/abs/1506.00396

zbMATH Keywords

convex risk measurefundamental theorem of asset pricingconvex constraintsgood deal boundsuperhedging cost

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial science and mathematical finance (91G99)

Related Items

Fundamental theorem of asset pricing with acceptable risk in markets with frictions

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