Pricing and hedging in incomplete markets with coherent risk

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dc.creatorCherny, Alexander S.
dc.creatorMadan, Dilip B.
dc.date2006-05-02
dc.date.accessioned2026-07-07T12:07:18Z
dc.date.available2026-07-07T12:07:18Z
dc.descriptionWe 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.
dc.identifierhttps://arxiv.org/abs/math/0605064
dc.identifierhttp://arxiv.org/abs/math/0605064
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208923
dc.subjectProbability
dc.subjectRisk Management
dc.subject91B24; 91B30; 91B50
dc.titlePricing and hedging in incomplete markets with coherent risk
dc.typetext

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