DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES
DOI10.1142/S0219024913500027zbMath1275.91128arXiv1205.4790MaRDI QIDQ4916239
Igor Cialenco, Ismail Iyigunler, Rodrigo Marín Rodríguez, Tomasz R. Bielecki
Publication date: 22 April 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1205.4790
transaction costs; arbitrage pricing; illiquid market; fundamental theorems of asset pricing; conic finance; dynamic coherent risk measures; swap contracts; dynamic coherent acceptability index; dividend paying securities; dynamic bid and ask; dynamic gain-loss ratio; no-good-deal bounds
91B24: Microeconomic theory (price theory and economic markets)
91G20: Derivative securities (option pricing, hedging, etc.)
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