کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
478738 1446134 2010 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Extending pricing rules with general risk functions
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Extending pricing rules with general risk functions
چکیده انگلیسی

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 Conditional Value at Risk and some properties of the Standard Deviation. Applications dealing with the valuation of volatility linked derivatives are discussed.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 201, Issue 1, 16 February 2010, Pages 23–33
نویسندگان
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