Risk-hedging a European option with a convex risk measure and without no-arbitrage condition

IF 1.1 2区经济学 Q3 BUSINESS, FINANCE Finance and Stochastics Pub Date : 2022-04-01 DOI:10.1080/17442508.2022.2055966

E. Lépinette, Jun Zhao

引用次数: 0

Abstract

In this article, we revisit the discrete-time problem of pricing a contingent claim with respect to a dynamic risk measure defined by its acceptance sets. Without any no-arbitrage condition, we show that it is possible to characterize the prices of a European claim. Our analysis reveals a natural weak no-arbitrage condition that we study. This is a condition formulated in terms of the (risk) hedging prices instead of the attainable claims. Our approach is not based on a robust representation of the risk measure and we do not suppose the existence of a risk-neutral probability measure.

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风险套期保值是一种带有凸风险度量且无套利条件的欧式期权

在这篇文章中，我们重新审视了一个离散时间问题，即对一个由其接受集定义的动态风险度量来定价一个或有索赔。在没有任何无套利条件的情况下，我们证明可以描述欧洲索赔的价格特征。我们的分析揭示了我们研究的一个自然弱无套利条件。这是一个根据(风险)对冲价格而不是根据可获得的债权制定的条件。我们的方法不是基于风险度量的鲁棒表示，我们不假设存在风险中性的概率度量。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance and Stochastics 管理科学-数学跨学科应用

CiteScore

2.90

自引率

5.90%

发文量

审稿时长

>12 weeks

期刊介绍： The purpose of Finance and Stochastics is to provide a high standard publication forum for research - in all areas of finance based on stochastic methods - on specific topics in mathematics (in particular probability theory, statistics and stochastic analysis) motivated by the analysis of problems in finance. Finance and Stochastics encompasses - but is not limited to - the following fields: - theory and analysis of financial markets - continuous time finance - derivatives research - insurance in relation to finance - portfolio selection - credit and market risks - term structure models - statistical and empirical financial studies based on advanced stochastic methods - numerical and stochastic solution techniques for problems in finance - intertemporal economics, uncertainty and information in relation to finance.

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