GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS

DOI10.1142/S021902491750011XzbMath1360.91159arXiv1506.00396MaRDI QIDQ2976129

Takuji Arai

Publication date: 13 April 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.00396

zbMATH Keywords

convex risk measurefundamental theorem of asset pricingconvex constraintsgood deal boundsuperhedging cost

Mathematics Subject Classification ID

Related Items (1)

Fundamental theorem of asset pricing with acceptable risk in markets with frictions

Cites Work

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