COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION
From MaRDI portal
Publication:5061493
DOI10.1142/S0219024921500370zbMath1484.91457OpenAlexW3096035876MaRDI QIDQ5061493
Emmanuel Lépinette, Duc Thinh Vu
Publication date: 11 March 2022
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024921500370
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- The fundamental theorem of asset pricing for continuous processes under small transaction costs
- Markets with transaction costs. Mathematical theory.
- On convex risk measures on \(L^{p}\)-spaces
- Martingales and stochastic integrals in the theory of continuous trading
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
- The fundamental theorem of asset pricing for unbounded stochastic processes
- A general version of the fundamental theorem of asset pricing
- Local martingales and the fundamental asset pricing theorems in the discrete-time case
- Limit theorem for Leland's strategy
- Vector-valued coherent risk measures
- Risk arbitrage and hedging to acceptability under transaction costs
- Pricing without no-arbitrage condition in discrete time
- Pricing and hedging European options with discrete-time coherent risk
- Conditional and dynamic convex risk measures
- The mathematics of arbitrage
- Convex risk measures and the dynamics of their penalty functions
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- Pricing with Coherent Risk
- Equivalent martingale measures and no-arbitrage
- Theory of Random Sets
- VECTOR-VALUED COHERENT RISK MEASURE PROCESSES
- SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES
- Time consistency of dynamic risk measures in markets with transaction costs