Upper and lower bounds on dynamic risk indifference prices in incomplete markets

Details Upper and lower bounds on dynamic risk indifference prices in incomplete markets Upper and lower bounds on dynamic risk indifference prices in incomplete markets

2009-09-17

arxiv.org/abs/0909.3219v3

Economy

Quantitative Finance

Pricing of Securities

This is a shorter, thoroughly modified and rewritten version

Scientific paper

In the context of an incomplete market with a Brownian filtration and a fixed
finite time horizon, this paper proves that for general dynamic convex risk
measures, the buyer's and seller's risk indifference prices of a contingent
claim are bounded from below and above by the dynamic lower and upper hedging
prices, respectively.

Affiliated with

Also associated with

No associations

Rating

Upper and lower bounds on dynamic risk indifference prices in incomplete markets does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Upper and lower bounds on dynamic risk indifference prices in incomplete markets, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Upper and lower bounds on dynamic risk indifference prices in incomplete markets will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-391043