Good-Deal Bounds for Option Prices under Value-at-Risk and Expected Shortfall Constraints
In this paper, we deal with the pricing of European options in an incomplete market. We use the common risk measures Value-at-Risk and Expected Shortfall to define good-deals on a financial market with log-normally distributed rate of returns. We show that the pricing bounds obtained from the Value-...
Main Authors: | Sascha Desmettre, Christian Laudagé, Jörn Sass |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2020-10-01
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Series: | Risks |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-9091/8/4/114 |
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