In this paper, we revisit the discrete-time partial hedging problem of contingent claims with respect to a dynamic risk-measure defined by its acceptance sets. A natural and sufficient weak no-arbitrage condition is studied to characterize the minimal risk-hedging prices. The method relies only on conditional optimization techniques. In particular, we do not need robust representation of the risk-measure and we do not suppose the existence of a risk-neutral probability measure. Numerical experiments illustrate the efficiency of the method.
Publié le : 2019-05-21
Classification:
Risk-hedging prices,
Dynamic risk-measures,
Absence of immediate profit,
Random sets,
Conditional essential infimum,
JEL: C - Mathematical and Quantitative Methods/C.C0 - General/C.C0.C02 - Mathematical Methods,
JEL: G - Financial Economics/G.G1 - General Financial Markets,
JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G13 - Contingent Pricing • Futures Pricing,
JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G17 - Financial Forecasting and Simulation,
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR],
[MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC],
[QFIN]Quantitative Finance [q-fin]
@article{hal-02135232,
author = {Zhao, Jun and L\'epinette, Emmanuel and Zhao, Peibiao},
title = {A new approach of coherent risk-measure pricing},
journal = {HAL},
volume = {2019},
number = {0},
year = {2019},
language = {en},
url = {http://dml.mathdoc.fr/item/hal-02135232}
}
Zhao, Jun; Lépinette, Emmanuel; Zhao, Peibiao. A new approach of coherent risk-measure pricing. HAL, Tome 2019 (2019) no. 0, . http://gdmltest.u-ga.fr/item/hal-02135232/