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Pricing and hedging in incomplete markets

Citations

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Cited by:

  1. Geman, Hélyette & Ohana, Steve, 2008. "Time-consistency in managing a commodity portfolio: A dynamic risk measure approach," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 1991-2005, October.
  2. Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
  3. Schied, Alexander, 2005. "Optimal investments for risk- and ambiguity-averse preferences: A duality approach," SFB 649 Discussion Papers 2005-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  4. Carolyn W. Chang & Jack S. K. Chang, 2017. "An Integrated Approach to Pricing Catastrophe Reinsurance," Risks, MDPI, vol. 5(3), pages 1-12, September.
  5. Szego, Giorgio, 2005. "Measures of risk," European Journal of Operational Research, Elsevier, vol. 163(1), pages 5-19, May.
  6. Takuji Arai, 2008. "Good deal bounds induced by shortfall risk," Papers 0802.4141, arXiv.org, revised Mar 2010.
  7. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January.
  8. Rama Cont, 2006. "Model uncertainty and its impact on the pricing of derivative instruments," Post-Print halshs-00002695, HAL.
  9. Mehdi Vazifedan & Qiji Jim Zhu, 2020. "No-Arbitrage Principle in Conic Finance," Risks, MDPI, vol. 8(2), pages 1-34, June.
  10. Ibáñez, Alfredo, 2008. "Factorization of European and American option prices under complete and incomplete markets," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 311-325, February.
  11. Roorda, Berend & Schumacher, J.M., 2007. "Time consistency conditions for acceptability measures, with an application to Tail Value at Risk," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 209-230, March.
  12. Carlo Acerbi & Giacomo Scandolo, 2008. "Liquidity risk theory and coherent measures of risk," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 681-692.
  13. Ernst Eberlein & Dilip Madan, 2009. "Sato processes and the valuation of structured products," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 27-42.
  14. Gustafson, Karl, 2010. "Operator trigonometry of multivariate finance," Journal of Multivariate Analysis, Elsevier, vol. 101(2), pages 374-384, February.
  15. Bauerle, Nicole & Muller, Alfred, 2006. "Stochastic orders and risk measures: Consistency and bounds," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 132-148, February.
  16. Wing Yan Yip & Sofia Olhede & David Stephens, 2008. "Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market," Papers 0801.4941, arXiv.org, revised Oct 2008.
  17. Michail Anthropelos & Gordan Zitkovic, 2009. "Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability," Papers 0901.3318, arXiv.org.
  18. Willems, Bert & Morbee, Joris, 2010. "Market completeness: How options affect hedging and investments in the electricity sector," Energy Economics, Elsevier, vol. 32(4), pages 786-795, July.
  19. Klöppel Susanne & Schweizer Martin, 2007. "Dynamic utility-based good deal bounds," Statistics & Risk Modeling, De Gruyter, vol. 25(4), pages 285-309, October.
  20. Sascha Desmettre & Christian Laudagé & Jörn Sass, 2020. "Good-Deal Bounds for Option Prices under Value-at-Risk and Expected Shortfall Constraints," Risks, MDPI, vol. 8(4), pages 1-22, October.
  21. repec:hum:wpaper:sfb649dp2005-051 is not listed on IDEAS
  22. Chang, Carolyn W. & Chang, Jack S.K. & Lu, WeLi, 2010. "Pricing catastrophe options with stochastic claim arrival intensity in claim time," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 24-32, January.
  23. Chen, Chang-Chih & Chang, Chia-Chien & Sun, Edward W. & Yu, Min-Teh, 2022. "Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness," European Journal of Operational Research, Elsevier, vol. 300(2), pages 727-742.
  24. Jocelyne Bion-Nadal, 2007. "Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk," Papers math/0703074, arXiv.org.
  25. Pal, Soumik, 2007. "Computing strategies for achieving acceptability: A Monte Carlo approach," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1587-1605, November.
  26. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2009. "Optimal reinsurance with general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 374-384, June.
  27. Xavier De Scheemaekere, 2009. "Upper and lower bounds on dynamic risk indifference prices in incomplete markets," Papers 0909.3219, arXiv.org, revised Sep 2010.
  28. Takuji Arai & Masaaki Fukasawa, 2011. "Convex risk measures for good deal bounds," Papers 1108.1273, arXiv.org.
  29. Jamie Alcock & Thomas Mollee & James Wood, 2011. "Volatile earnings growth, the price of earnings and the Value premium," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 805-815.
  30. Sara Biagini & Mustafa Pinar, 2012. "The best gain-loss ratio is a poor performance measure," Papers 1209.6439, arXiv.org, revised Dec 2012.
  31. Jaimungal, Sebastian & Young, Virginia R., 2005. "Pricing equity-linked pure endowments with risky assets that follow Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 329-346, June.
  32. Wang, Yumin, 2009. "Quantile hedging for guaranteed minimum death benefits," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 449-458, December.
  33. Minina, Vera & Vellekoop, Michel, 2010. "A risk reserve model for hedging in incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1233-1247, July.
  34. Saeed Marzban & Erick Delage & Jonathan Yumeng Li, 2020. "Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures," Papers 2002.02876, arXiv.org, revised Sep 2020.
  35. Ajay Khanna & Dilip Madan, 2004. "Understanding option prices," Quantitative Finance, Taylor & Francis Journals, vol. 4(1), pages 55-63.
  36. Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005 216, Society for Computational Economics.
  37. Madan, Dilip B., 2004. "Monitored financial equilibria," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2213-2235, September.
  38. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2022. "A risk measurement approach from risk-averse stochastic optimization of score functions," Papers 2208.14809, arXiv.org, revised May 2023.
  39. Bion-Nadal, Jocelyne, 2009. "Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk," Journal of Mathematical Economics, Elsevier, vol. 45(11), pages 738-750, December.
  40. Hogan, Steve & Jarrow, Robert & Teo, Melvyn & Warachka, Mitch, 2004. "Testing market efficiency using statistical arbitrage with applications to momentum and value strategies," Journal of Financial Economics, Elsevier, vol. 73(3), pages 525-565, September.
  41. Karl F. Bann�r & Matthias Scherer, 2014. "On the calibration of distortion risk measures to bid-ask prices," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1217-1228, July.
  42. Roger J. A. Laeven & Emanuela Rosazza Gianin, 2022. "Quasi-Logconvex Measures of Risk," Papers 2208.07694, arXiv.org.
  43. Gao, Feng & Song, Fengming & Zhang, Lihong, 2007. "Coherent risk measure, equilibrium and equilibrium pricing," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 85-94, January.
  44. Dilip B. Madan, 2010. "Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness," JRFM, MDPI, vol. 3(1), pages 1-25, December.
  45. Dilip Madan, 2009. "Capital requirements, acceptable risks and profits," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 767-773.
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