Pricing and hedging in incomplete markets with coherent risk

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We propose a pricing technique based on coherent risk measures, which enables one to get finer price intervals than in the No Good Deals pricing. The main idea consists in splitting a liability into several parts and selling these parts to different agents. The technique is closely connected with the convolution of coherent risk measures and equilibrium considerations. Furthermore, we propose a way to apply the above technique to the coherent estimation of the Greeks.

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Probability, Risk Management, 91B24; 91B30; 91B50

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http://salesiana.dossiersoluciones.com/handle/123456789/208923

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0605064
 http://arxiv.org/abs/math/0605064

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arXiv