Bounding contingent claim prices via hedging strategy with coherent risk measures

DOI10.1007/s10957-011-9899-yzbMath1239.91162OpenAlexW2064266187MaRDI QIDQ662867

Yoshitsugu Yamamoto, Weifeng Yao, Jun-Ya Gotoh

Publication date: 13 February 2012

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2241/114750

zbMATH Keywords

incomplete marketcoherent risk measureshedging strategyoption price boundssemi-infinite linear optimization

Mathematics Subject Classification ID

Semidefinite programming (90C22) Semi-infinite programming (90C34) Derivative securities (option pricing, hedging, etc.) (91G20)

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