Gain-loss pricing under ambiguity of measure
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Publication:5189212
DOI10.1051/cocv:2008068zbMath1186.91219MaRDI QIDQ5189212
Publication date: 9 March 2010
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/44566
stochastic programming; martingales; hedging; risk measures; pricing; contingent claim; gain-loss ratio
90C90: Applications of mathematical programming
90C15: Stochastic programming
91G20: Derivative securities (option pricing, hedging, etc.)
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Gain-loss based convex risk limits in discrete-time trading, A dual representation of gain–loss hedging for European claims in discrete time
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