Equal risk pricing and hedging of financial derivatives with convex risk measures
DOI10.1080/14697688.2021.1993614zbMath1484.91485arXiv2002.02876OpenAlexW3217410169MaRDI QIDQ5068070
Saeed Marzban, Erick Delage, Jonathan Y. Li
Publication date: 5 April 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2002.02876
dynamic programmingincomplete marketoption pricingnumerical optimizationconvex risk measuresrisk hedging
Statistical methods; risk measures (91G70) Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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