Extending pricing rules with general risk functions

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dc.contributor.author Balbás, Raquel
dc.contributor.author Garrido, José
dc.date.accessioned 2012-01-13T19:38:30Z
dc.date.available 2012-01-13T19:38:30Z
dc.date.issued 2010-02
dc.identifier.bibliographicCitation European Journal of Operational Research, 2010 v. 201, nº 1, pp. 23-33
dc.identifier.issn ISSN: 0377-2217
dc.identifier.uri http://hdl.handle.net/10016/12956
dc.description.abstract The paper addresses pricing issues in imperfect and/or incomplete markets if the risk level of the hedging strategy is measured by a general risk function. Convex Optimization Theory is used in order to extend pricing rules for a wide family of risk functions, including Deviation Measures, Expectation Bounded Risk Measures and Coherent Measures of Risk. Necessary and sufficient optimality conditions are provided in a very general setting. For imperfect markets the extended pricing rules reduce the bid ask spread. The findings are particularized so as to study with more detail some concrete examples, including the Condi tional Value at Risk and some properties of the Standard Deviation. Applications dealing with the valu ation of volatility linked derivatives are discussed.
dc.description.sponsorship Research partially supported by ‘‘Welzia Management SGIIC SA”, ‘‘ RD_Sistemas SA”, ‘‘Comunidad Autónoma de Madrid” (Spain), Grant s 0505=tic=000230, ‘‘MEyC” (Spain), Grant SEJ2006 15401 C04 and ‘‘NSERC” (Canada), Grant 36860 06
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.relation.isversionof http://hdl.handle.net/10016/18138
dc.subject.other Incomplete market
dc.subject.other Risk measure
dc.subject.other Pricing rule
dc.subject.other Convex optimization
dc.title Extending pricing rules with general risk functions
dc.type article
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/j.ejor.2009.02.015
dc.subject.eciencia Empresa
dc.identifier.doi 10.1016/j.ejor.2009.02.015
dc.rights.accessRights openAccess
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 23
dc.identifier.publicationissue 1
dc.identifier.publicationlastpage 33
dc.identifier.publicationtitle European Journal of Operational Research
dc.identifier.publicationvolume 201
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