Super-hedging a European option with a coherent risk-measure and without no-arbitrage condition
Lépinette, Emmanuel; Zhao, Jun (2022), Super-hedging a European option with a coherent risk-measure and without no-arbitrage condition, Stochastics: An International Journal of Probability and Stochastic Processes, p. 36. 10.1080/17442508.2022.2055966
TypeArticle accepté pour publication ou publié
Journal nameStochastics: An International Journal of Probability and Stochastic Processes
MetadataShow full item record
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Department of Polymer Science and Engineering [USTB]
Abstract (EN)In this paper, we revisit the discrete-time super hedging problem of contingent claims with respect to a dynamic risk-measure defined by its acceptance sets. Without any no-arbitrage condition, we show that it is possible to characterize the prices of an European claim. Our analysis reveals a natural weak no-arbitrage condition that we study. This is a condition formulated for the prices instead of the attainable claims. Our approach is not based on a robust representation of the risk-measure and we do not suppose the existence of a risk-neutral probability measure.
Subjects / KeywordsRisk-hedging prices; Dynamic risk-measures; Absence of immediate profit; Random sets; Conditional essential supremum; and phrases: Risk-hedging prices; Conditional essential infi- mum Mathematics Subject Classification (2010): 49J53; 60D05; 91G20; 91G80 JEL Classification: C02; C61; G13
Showing items related by title and author.