Risk measure pricing and hedging in incomplete markets
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Publication:665707
DOI10.1007/S10436-005-0023-XzbMATH Open1233.91291OpenAlexW2150733281MaRDI QIDQ665707FDOQ665707
Authors: Mingxin Xu 
Publication date: 6 March 2012
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-005-0023-x
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Cited In (45)
- Actuarial pricing with financial methods
- On dynamic programming equations for utility indifference pricing under delta constraints
- Existence and uniqueness of martingale solutions to option pricing equations with noise
- Pricing derivatives of American and game type in incomplete markets
- The price of risk with incomplete knowledge on the utility function
- Gain-loss based convex risk limits in discrete-time trading
- Compatibility between pricing rules and risk measures: The CCVaR
- Pricing and hedging in the incomplete finance market
- On the calibration of distortion risk measures to bid-ask prices
- Optimal hedging under fast-varying stochastic volatility
- Equal risk pricing and hedging of financial derivatives with convex risk measures
- SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS
- Claim pricing and hedging under market incompleteness and ``mean-variance preferences
- Capturing parameter risk with convex risk measures
- Market consistent valuations with financial imperfection
- Research on the measure and stripping of correlation risk in incomplete market
- Valuing risky income streams in incomplete markets
- A maximum principle approach to risk indifference pricing with partial information
- A class of stochastic Fredholm-algebraic equations and applications in finance
- Optimal hedging when the underlying asset follows a regime-switching Markov process
- Residual risks and hedging strategies in Markovian markets
- Pricing and hedging European options with discrete-time coherent risk
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- Pricing and hedging basis risk under no good deal assumption
- GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS
- Convex risk measures for good deal bounds
- Determination of risk pricing measures from market prices of risk
- Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory
- Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itō SDE systems
- Solving the problem of partial hedging through a dual problem
- Efficient hedging of European options with robust convex loss functionals: a dual-representation formula
- Title not available (Why is that?)
- Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming
- Title not available (Why is that?)
- Pricing and hedging in the presence of extraneous risks
- Dynamic hedging in incomplete markets using risk measures
- Risk indifference pricing in jump diffusion markets
- Partial equilibria with convex capital requirements: existence, uniqueness and stability
- Equal risk pricing of derivatives with deep hedging
- Fully-dynamic risk-indifference pricing and no-good-deal bounds
- Filtration reduction and incomplete markets
- Deep hedging
- Risk measure pricing and hedging in the presence of transaction costs
- Extending pricing rules with general risk functions
- A risk reserve model for hedging in incomplete markets
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