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

Risk-hedging a European option with a convex risk measure and without no-arbitrage condition (Q6162784)

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scientific article; zbMATH DE number 7701609
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English
Risk-hedging a European option with a convex risk measure and without no-arbitrage condition
scientific article; zbMATH DE number 7701609

    Statements

    title
    Risk-hedging a European option with a convex risk measure and without no-arbitrage condition (English)
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    author
    Emmanuel Lépinette
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    Jun Zhao
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    published in
    Stochastics
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    publication date
    26 June 2023
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    zbMATH Keywords
    risk-hedging prices
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    dynamic risk measures
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    absence of instantaneous profit (AIP)
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    random sets
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    conditional essential infimum and supremum
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    cites work
    Q5461650
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    Coherent risk measures
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    Q4550909
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    Q3526970
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    Q4884570
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    Q4788813
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    Q2725602
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    Theory of Random Sets
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    Q4326383
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    Variational Analysis
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    Identifiers

    zbMATH DE Number
    7701609
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