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Good Deal Bounds With Convex Constraints

Author

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  • TAKUJI ARAI

    (Department of Economics, Keio University, 2-15-45 Mita, Minato-ku, Tokyo 108-8345, Japan)

Abstract

We investigate the structure of good deal bounds, which are subintervals of a no-arbitrage pricing bound, for financial market models with convex constraints as an extension of Arai & Fukasawa (2014). The upper and lower bounds of a good deal bound are naturally described by a convex risk measure. We call such a risk measure a good deal valuation; and study its properties. We also discuss superhedging cost and Fundamental Theorem of Asset Pricing for convex constrained markets.

Suggested Citation

  • Takuji Arai, 2017. "Good Deal Bounds With Convex Constraints," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-15, March.
    • Handle: RePEc:wsi:ijtafx:v:20:y:2017:i:02:n:s021902491750011x
    DOI: 10.1142/S021902491750011X
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    References listed on IDEAS

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    Cited by:

    1. Maria Arduca & Cosimo Munari, 2020. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Papers 2012.08351, arXiv.org, revised Apr 2022.
    2. Maria Arduca & Cosimo Munari, 2023. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Finance and Stochastics, Springer, vol. 27(3), pages 831-862, July.

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