RT Generic
T1 Extending pricing rules with general risk
A1 Balbás, Alejandro
A1 Balbás, Raquel
A1 Garrido, José
AB The paper addresses pricing issues in imperfect and/or incomplete marketsif the risk level of the hedging strategy is measured by a general risk function. ConvexOptimization Theory is used in order to extend pricing rules for a wide family of risk functions,including Deviation Measures, Expectation Bounded Risk Measures and CoherentMeasures of Risk. For imperfect markets the extended pricing rules reduce the bid-askspread. The paper ends by particularizing the findings so as to study with more detailsome concrete examples, including the Conditional Value at Risk and some properties ofthe Standard Deviation
PB Department of Mathematics and Statistics, Concordia University
YR 2008
FD 2008-04
LK https://hdl.handle.net/10016/18138
UL https://hdl.handle.net/10016/18138
LA eng
NO Research partially supported by “Welzia Management SGIIC SA”, “RD_SistemasSA”, “Comunidad Autónoma de Madrid” (Spain), Grant s−0505/tic/000230, “MEy-C” (Spain), Grant SEJ2006−15401−C04 and “NSERC” (Canada), Grant 36860−06
DS e-Archivo
RD 17 jul. 2024