Fundamental Theorems of Asset Pricing for Good Deal Bounds
From MaRDI portal
Publication:4827308
DOI10.1111/j.0960-1627.2004.00186.xzbMath1090.91030OpenAlexW3121294156MaRDI QIDQ4827308
Publication date: 16 November 2004
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00186.x
Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)
Related Items
Market consistent valuations with financial imperfection, Dynamic conic hedging for competitiveness, Weighted V\@R and its properties, Dynamic no-good-deal pricing measures and extension theorems for linear operators on \(L^\infty\), DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES, Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets, Robustness of Delta Hedging in a Jump-Diffusion Model, Fundamental theorem of asset pricing with acceptable risk in markets with frictions, Duality Formulas for Robust Pricing and Hedging in Discrete Time, GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS, SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS, Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming, Good deals in markets with friction, Pricing and hedging European options with discrete-time coherent risk, Computing strategies for achieving acceptability: a Monte Carlo approach, LOWER AND UPPER BOUNDS OF MARTINGALE MEASURE DENSITIES IN CONTINUOUS TIME MARKETS, SUPERHEDGING IN ILLIQUID MARKETS, MODELLING THE BID AND ASK PRICES OF ILLIQUID CDSs, 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 measures on ordered non-reflexive Banach spaces, Asset pricing theory for two price economies, Minimizing measures of risk by saddle point conditions, Time consistency conditions for acceptability measures, with an application to tail value at risk, OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES, RISK MEASURES ON ORLICZ HEARTS, RISK MEASURES: RATIONALITY AND DIVERSIFICATION, CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY, Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming, Extending pricing rules with general risk functions, An active-set strategy to solve Markov decision processes with good-deal risk measure, Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk, RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES, CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS
Cites Work
- Unnamed Item
- Unnamed Item
- Hedging contingent claims on semimartingales
- Exact functionals and their core
- Convex measures of risk and trading constraints
- Liquidity risk and arbitrage pricing theory
- Approximation pricing and the variance-optimal martingale measure
- Coherent Measures of Risk
- A survey of the theory of spectral operators
- Convex Analysis
- Introduction to a theory of value coherent with the no-arbitrage principle