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A new approach of coherent risk-measure pricing

Zhao, Jun; Lépinette, Emmanuel; Zhao, Peibiao (2019-05), A new approach of coherent risk-measure pricing. https://basepub.dauphine.fr/handle/123456789/19401

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Type
Document de travail / Working paper
External document link
https://hal.archives-ouvertes.fr/hal-02135232
Date
2019-05
Publisher
Cahier de recherche CEREMADE, Université Paris-Dauphine
Series title
Cahier de recherche CEREMADE, Université Paris-Dauphine
Published in
Paris
Pages
49
Metadata
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Author(s)
Zhao, Jun

Lépinette, Emmanuel
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Zhao, Peibiao
Abstract (EN)
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.
Subjects / Keywords
Risk-hedging prices; Dynamic risk-measures; Absence of immediate profit; Random sets; Conditional essential infimum