
Coherent Risk Measure on L 0 : NA Condition, Pricing and Dual Representation
Lépinette, Emmanuel; Vu, Duc Thinh (2021), Coherent Risk Measure on L 0 : NA Condition, Pricing and Dual Representation, International Journal of Theoretical and Applied Finance, 24, 6-7. 10.1142/S0219024921500370
View/ Open
Type
Article accepté pour publication ou publiéDate
2021Journal name
International Journal of Theoretical and Applied FinanceVolume
24Number
6-7Publisher
World Scientific
Publication identifier
Metadata
Show full item recordAuthor(s)
Lépinette, EmmanuelCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Vu, Duc Thinh
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Abstract (EN)
The NA condition is one of the pillars supporting the classical theory of financial mathematics. We revisit this condition for financial market models where a dynamic risk-measure defined on L0 is fixed to characterize the family of acceptable wealths that play the role of nonnegative financial positions. We provide in this setting a new version of the fundamental theorem of asset pricing and we deduce a dual characterization of the super-hedging prices (called risk-hedging prices) of a European option. Moreover, we show that the set of all risk-hedging prices is closed under NA. At last, we provide a dual representation of the risk-measure on L0 under some conditions.Subjects / Keywords
NA condition; Risk-hedging prices; Dynamic risk-measures; Dual representation; No-arbitrageRelated items
Showing items related by title and author.
-
Lépinette, Emmanuel; Zhao, Jun (2022) Article accepté pour publication ou publié
-
Zhao, Jun; Lépinette, Emmanuel; Zhao, Peibiao (2019-05) Document de travail / Working paper
-
Lépinette, Emmanuel; Vu, Duc Thinh (2023) Article accepté pour publication ou publié
-
Ben Tahar, Imen; Lépinette, Emmanuel (2014) Article accepté pour publication ou publié
-
Lépinette, Emmanuel; Vu, Duc Thinh (2022) Document de travail / Working paper