Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds

DOI10.1137/18M120436XzbMath1444.91221arXiv1711.05567OpenAlexW3040439251MaRDI QIDQ3295875

Jocelyne Bion-Nadal, Giulia Di Nunno

Publication date: 13 July 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.05567

zbMATH Keywords

extension theoremstime-consistencydynamic risk measuresno-good-dealconvex pricesrisk-indifference prices

Mathematics Subject Classification ID

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

Related Items (1)

Robustness of Delta Hedging in a Jump-Diffusion Model

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