Pricing under dynamic risk measures
In this paper, we study the discrete-time super-replication problem of contingent claims with respect to an acceptable terminal discounted cash flow. Based on the concept of Immediate Profit, i.e., a negative price which super-replicates the zero contingent claim, we establish a weak version of the...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2019-08-01
|
| Series: | Open Mathematics |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/math-2019-0070 |
| _version_ | 1818738580924661760 |
|---|---|
| author | Zhao Jun Lépinette Emmanuel Zhao Peibiao |
| author_facet | Zhao Jun Lépinette Emmanuel Zhao Peibiao |
| author_sort | Zhao Jun |
| collection | DOAJ |
| description | In this paper, we study the discrete-time super-replication problem of contingent claims with respect to an acceptable terminal discounted cash flow. Based on the concept of Immediate Profit, i.e., a negative price which super-replicates the zero contingent claim, we establish a weak version of the fundamental theorem of asset pricing. Moreover, time consistency is discussed and we obtain a representation formula for the minimal super-hedging prices of bounded contingent claims. |
| first_indexed | 2024-12-18T01:11:12Z |
| format | Article |
| id | doaj.art-3fc52baed35143049002f9bf74c84979 |
| institution | Directory Open Access Journal |
| issn | 2391-5455 |
| language | English |
| last_indexed | 2024-12-18T01:11:12Z |
| publishDate | 2019-08-01 |
| publisher | De Gruyter |
| record_format | Article |
| series | Open Mathematics |
| spelling | doaj.art-3fc52baed35143049002f9bf74c849792022-12-21T21:26:06ZengDe GruyterOpen Mathematics2391-54552019-08-0117189490510.1515/math-2019-0070math-2019-0070Pricing under dynamic risk measuresZhao Jun0Lépinette Emmanuel1Zhao Peibiao2Department Applied Mathematics, Nanjing University of Science and Technology, Nanjing, 210094, Jiangsu, P.R. ChinaCeremade, UMR CNRS 7534, Paris Dauphine University, PSL National Research, Place du Maréchal De Lattre De Tassigny, 75775 Paris cedex 16, Paris, FranceDepartment Applied Mathematics, Nanjing University of Science and Technology, Nanjing, 210094, Jiangsu, P.R. ChinaIn this paper, we study the discrete-time super-replication problem of contingent claims with respect to an acceptable terminal discounted cash flow. Based on the concept of Immediate Profit, i.e., a negative price which super-replicates the zero contingent claim, we establish a weak version of the fundamental theorem of asset pricing. Moreover, time consistency is discussed and we obtain a representation formula for the minimal super-hedging prices of bounded contingent claims.https://doi.org/10.1515/math-2019-0070super-hedgingdynamic risk measurestime consistencyabsence of immediate profitpricing49j5360d0591g2091g80 |
| spellingShingle | Zhao Jun Lépinette Emmanuel Zhao Peibiao Pricing under dynamic risk measures Open Mathematics super-hedging dynamic risk measures time consistency absence of immediate profit pricing 49j53 60d05 91g20 91g80 |
| title | Pricing under dynamic risk measures |
| title_full | Pricing under dynamic risk measures |
| title_fullStr | Pricing under dynamic risk measures |
| title_full_unstemmed | Pricing under dynamic risk measures |
| title_short | Pricing under dynamic risk measures |
| title_sort | pricing under dynamic risk measures |
| topic | super-hedging dynamic risk measures time consistency absence of immediate profit pricing 49j53 60d05 91g20 91g80 |
| url | https://doi.org/10.1515/math-2019-0070 |
| work_keys_str_mv | AT zhaojun pricingunderdynamicriskmeasures AT lepinetteemmanuel pricingunderdynamicriskmeasures AT zhaopeibiao pricingunderdynamicriskmeasures |