Super-hedging a European option with a coherent risk-measure and without no-arbitrage condition
Lépinette, Emmanuel; Zhao, Jun (2019), Super-hedging a European option with a coherent risk-measure and without no-arbitrage condition. https://basepub.dauphine.fr/handle/123456789/20348
TypeDocument de travail / Working paper
External document linkhttps://hal.archives-ouvertes.fr/hal-02379707
Cahier de recherche CEREMADE, Université Paris-Dauphine
Series titleCahier de recherche CEREMADE, Université Paris-Dauphine
MetadataShow full item record
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Department of Polymer Science and Engineering [USTB]
National Center for Mathematics and Interdisciplinary Sciences [Beijing] [NCMIS]
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
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