Pricing and hedging with globally and instantaneously vanishing risk

DOI10.1524/STND.2007.0906MaRDI QIDQ3519374zbMATH OpenOpenAlexFDO

Authors Johannes Leitner

Publication date 14 August 2008

Published in Statistics & Decisions (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1524/stnd.2007.0906

zbMATH Keywords

\(\Delta\)-hedging\(g\)-expectationBSDEcoherent risk measuresgeneralized Black-Scholes equationincomplete marketsmarket riskoptimal hedgingoption pricingpricing of non-attainable claimsrobust martingale representation

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(8)

• An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
• Robust pricing and hedging around the globe
• Hedging under generalized good-deal bounds and model uncertainty
• Convex pricing by a generalized entropy penalty
• Pricing and hedging European options with discrete-time coherent risk
• Almost-sure hedging with permanent price impact
• ONE FOR ALL The Potential Approach to Pricing and Hedging
• Instantaneous mean-variance hedging and Sharpe ratio pricing in a regime-switching financial model

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