Equal risk pricing under convex trading constraints
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Publication:1655628
DOI10.1016/j.jedc.2017.01.005zbMath1401.91530OpenAlexW3122143623MaRDI QIDQ1655628
Publication date: 9 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2017.01.005
Related Items (8)
Equal risk pricing and hedging of financial derivatives with convex risk measures ⋮ AN EMPIRICAL ANALYSIS OF OPTION PRICING WITH SHORT SELL BANS ⋮ Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures ⋮ A revised option pricing formula with the underlying being banned from short selling ⋮ Optimal exercise of American puts with transaction costs under utility maximization ⋮ Option pricing in regime-switching frameworks with the extended Girsanov principle ⋮ Equal risk pricing of derivatives with deep hedging ⋮ VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH
Cites Work
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