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- Title
Pricing and hedging European options with discrete-time coherent risk.
- Authors
Cherny, Alexander
- Abstract
The aim of the paper is to provide as explicit as possible expressions for upper/lower prices and for superhedging/subhedging strategies based on discrete-time coherent risk measures. This is done on three levels of generality. For a general infinite-dimensional model, we prove the fundamental theorem of asset pricing. For a general multidimensional model, we provide expressions for prices and hedges. For a wide class of models, in particular, including GARCH, we give more concrete formulas, a sufficient condition for the uniqueness of a hedging strategy, and a numerical algorithm.
- Subjects
EUROPE; RISK management in business; FINANCE; PRICING; ECONOMIC policy; MARKETING strategy; PRICE maintenance; PRICE regulation; MARKETING
- Publication
Finance & Stochastics, 2007, Vol 11, Issue 4, p537
- ISSN
0949-2984
- Publication type
Article
- DOI
10.1007/s00780-007-0050-8