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Pricing under dynamic risk measures

Zhao, Jun; Lépinette, Emmanuel; Zhao, Peibiao (2019), Pricing under dynamic risk measures, Open Mathematics, 17, 1. 10.1515/math-2019-0070

Type
Article accepté pour publication ou publié
External document link
https://hal.archives-ouvertes.fr/hal-02135232
Date
2019
Journal name
Open Mathematics
Volume
17
Number
1
Publisher
De Gruyter
Publication identifier
Metadata
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Author(s)
Zhao, Jun
School of Civil Engineering [Harbin] [HIT]
Key Engineering Bionics Laboratory
Lépinette, Emmanuel
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Zhao, Peibiao
Abstract (EN)
In this paper, we study the discrete-time super-replication problem of contingent claims with respect to an acceptable terminal discounted cash flow. Based on the concept of Immediate Profit, i.e., a negative price which super-replicates the zero contingent claim, we establish a weak version of the fundamental theorem of asset pricing. Moreover, time consistency is discussed and we obtain a representation formula for the minimal super-hedging prices of bounded contingent claims.
Subjects / Keywords
Time consistency; Absence of immediate pro t; Pricing MSC: 49J53; Conditional essential infimum; Absence of immediate profit; Dynamic risk-measures; Random sets; Risk-hedging prices; Super-hedging; Dynamic risk measures