Pricing under dynamic risk measures

In this paper, we study the discrete-time super-replication problem of contingent claims with respect to an acceptable terminal discounted cash flow. Based on the concept of Immediate Profit, i.e., a negative price which super-replicates the zero contingent claim, we establish a weak version of the...

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Veröffentlicht in:Open mathematics (Warsaw, Poland) Poland), 2019-08, Vol.17 (1), p.894-905
Hauptverfasser: Zhao, Jun, Lépinette, Emmanuel, Zhao, Peibiao
Format: Artikel
Sprache:eng
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Zusammenfassung:In this paper, we study the discrete-time super-replication problem of contingent claims with respect to an acceptable terminal discounted cash flow. Based on the concept of Immediate Profit, i.e., a negative price which super-replicates the zero contingent claim, we establish a weak version of the fundamental theorem of asset pricing. Moreover, time consistency is discussed and we obtain a representation formula for the minimal super-hedging prices of bounded contingent claims.
ISSN:2391-5455
1874-1177
2391-5455
1874-1177
DOI:10.1515/math-2019-0070