A new approach of coherent risk-measure pricing - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2019

A new approach of coherent risk-measure pricing

Jun Zhao
  • Fonction : Auteur
Peibiao Zhao
  • Fonction : Auteur
  • PersonId : 1047592

Résumé

In this paper, we revisit the discrete-time partial hedging problem of contingent claims with respect to a dynamic risk-measure defined by its acceptance sets. A natural and sufficient weak no-arbitrage condition is studied to characterize the minimal risk-hedging prices. The method relies only on conditional optimization techniques. In particular, we do not need robust representation of the risk-measure and we do not suppose the existence of a risk-neutral probability measure. Numerical experiments illustrate the efficiency of the method.
Fichier principal
Vignette du fichier
220519ANewApproach.pdf (539.63 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-02135232 , version 1 (21-05-2019)
hal-02135232 , version 2 (25-11-2019)

Identifiants

  • HAL Id : hal-02135232 , version 1

Citer

Jun Zhao, Emmanuel Lépinette, Peibiao Zhao. A new approach of coherent risk-measure pricing. 2019. ⟨hal-02135232v1⟩
106 Consultations
219 Téléchargements

Partager

Gmail Mastodon Facebook X LinkedIn More