• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail

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

View/Open
LepinetteZhao.pdf (455.8Kb)
Type
Article accepté pour publication ou publié
Date
2022
Journal name
Stochastics: An International Journal of Probability and Stochastic Processes
Publisher
Taylor & Francis
Published in
Paris
Pages
36
Publication identifier
10.1080/17442508.2022.2055966
Metadata
Show full item record
Author(s)
Lépinette, Emmanuel
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Zhao, Jun
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 / Keywords
Risk-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

Related items

Showing items related by title and author.

  • Thumbnail
    A new approach of coherent risk-measure pricing 
    Zhao, Jun; Lépinette, Emmanuel; Zhao, Peibiao (2019-05) Document de travail / Working paper
  • Thumbnail
    Super-hedging an arbitrary number of European options with integer-valued strategies 
    Cherif, Dorsaf; El Mansour, Meriam; Lépinette, Emmanuel (2022) Document de travail / Working paper
  • Thumbnail
    Pricing without no-arbitrage condition in discrete time 
    Carassus, Laurence; Lépinette, Emmanuel (2021) Article accepté pour publication ou publié
  • Thumbnail
    Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty 
    El Mansour, Meriam; Lépinette, Emmanuel (2022) Article accepté pour publication ou publié
  • Thumbnail
    Pricing under dynamic risk measures 
    Zhao, Jun; Lépinette, Emmanuel; Zhao, Peibiao (2019) Article accepté pour publication ou publié
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo