DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES

DOI10.1142/S0219024913500027zbMath1275.91128arXiv1205.4790OpenAlexW2154365972MaRDI QIDQ4916239

Igor Cialenco, Ismail Iyigunler, Rodrigo Marín Rodríguez, Tomasz R. Bielecki

Publication date: 22 April 2013

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

Full work available at URL: https://arxiv.org/abs/1205.4790

zbMATH Keywords

transaction costsarbitrage pricingilliquid marketfundamental theorems of asset pricingconic financedynamic coherent risk measuresswap contractsdynamic coherent acceptability indexdividend paying securitiesdynamic bid and askdynamic gain-loss rationo-good-deal bounds

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

Dynamic Conic Finance via Backward Stochastic Difference Equations ⋮ Acceptability maximization ⋮ Deep signature FBSDE algorithm ⋮ Dynamic quasi concave performance measures ⋮ CONIC CVA AND DVA FOR OPTION PORTFOLIOS ⋮ Quantile hedging in a semi-static market with model uncertainty ⋮ CONIC PORTFOLIO THEORY ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market ⋮ FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS

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