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: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2019-08-01
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| Series: | Open Mathematics |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/math-2019-0070 |