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A new approach of coherent risk-measure pricing

hal.structure.identifier
dc.contributor.authorZhao, Jun
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorLépinette, Emmanuel
hal.structure.identifier
dc.contributor.authorZhao, Peibiao
dc.date.accessioned2019-07-24T11:39:11Z
dc.date.available2019-07-24T11:39:11Z
dc.date.issued2019-05
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19401
dc.language.isoenen
dc.subjectRisk-hedging pricesen
dc.subjectDynamic risk-measuresen
dc.subjectAbsence of immediate profiten
dc.subjectRandom setsen
dc.subjectConditional essential infimumen
dc.subject.ddc519en
dc.titleA new approach of coherent risk-measure pricingen
dc.typeDocument de travail / Working paper
dc.contributor.editoruniversityotherNanjing University of Science and Technology;China
dc.description.abstractenIn 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.en
dc.publisher.nameCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.publisher.cityParisen
dc.identifier.citationpages49en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-02135232en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2019-05
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-07-24T11:35:58Z
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