Risk measure pricing and hedging in incomplete markets
From MaRDI portal
Publication:665707
DOI10.1007/s10436-005-0023-xzbMath1233.91291OpenAlexW2150733281MaRDI QIDQ665707
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
Related Items
Existence and uniqueness of martingale solutions to option pricing equations with noise, Market consistent valuations with financial imperfection, Equal risk pricing and hedging of financial derivatives with convex risk measures, Equal risk pricing under convex trading constraints, Capturing parameter risk with convex risk measures, Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory, Risk measure pricing and hedging in the presence of transaction costs, Actuarial pricing with financial methods, Optimal Hedging Under Fast-Varying Stochastic Volatility, GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS, SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS, Unnamed Item, Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds, Partial equilibria with convex capital requirements: existence, uniqueness and stability, Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming, Pricing and hedging European options with discrete-time coherent risk, Gain-loss based convex risk limits in discrete-time trading, On dynamic programming equations for utility indifference pricing under delta constraints, A class of stochastic Fredholm-algebraic equations and applications in finance, EFFICIENT HEDGING OF EUROPEAN OPTIONS WITH ROBUST CONVEX LOSS FUNCTIONALS: A DUAL-REPRESENTATION FORMULA, Optimal hedging when the underlying asset follows a regime-switching Markov process, A maximum principle approach to risk indifference pricing with partial information, Deep hedging, RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS, On the calibration of distortion risk measures to bid-ask prices, Equal risk pricing of derivatives with deep hedging, CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- The fundamental theorem of asset pricing for unbounded stochastic processes
- A general version of the fundamental theorem of asset pricing
- On the range of options prices
- Optional decomposition and Lagrange multipliers
- Geometric Lévy process \& MEMM pricing model and related estimation problems
- Convex measures of risk and trading constraints
- Valuation and martingale properties of shadow prices: an exposition
- Efficient hedging: cost versus shortfall risk
- Incompleteness of markets driven by a mixed diffusion
- A valuation algorithm for indifference prices in incomplete markets
- On the pricing of contingent claims under constraints
- A stochastic calculus model of continuous trading: Complete markets
- Derivative pricing based on local utility maximization
- An example of indifference prices under exponential preferences
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- On dynamic measure of risk
- Satisfying convex risk limits by trading
- Inf-convolution of risk measures and optimal risk transfer
- Dynamic exponential utility indifference valuation
- Pricing Via Utility Maximization and Entropy
- Coherent Measures of Risk
- ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
- On the Existence of Minimax Martingale Measures
- Dynamic Minimization of Worst Conditional Expectation of Shortfall
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
- Stochastic finance. An introduction in discrete time
- Introduction to a theory of value coherent with the no-arbitrage principle
- Minimax and minimal distance martingale measures and their relationship to portfolio optimization