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Article Dans Une Revue Open Mathematics Journal Année : 2019

Pricing under dynamic risk measures

Peibiao Zhao
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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.
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Dates et versions

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

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Citer

Jun Zhao, Emmanuel Lépinette, Peibiao Zhao. Pricing under dynamic risk measures. Open Mathematics Journal, 2019, ⟨10.1515/math-2019-0070⟩. ⟨hal-02135232v2⟩
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