Hedging and Pricing in Imperfect Markets under Non-Convexity

Hirbod Assa and Nikolay Gospodinov

No 2014-13, FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta

Abstract: This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging strategies for a wide family of risk measures and pricing rules, which are possibly non-convex. The practical implications of our proposed theoretical approach are illustrated with an application on hedging economic risk.

Keywords: imperfect markets; risk measures; hedging; pricing rule; quantile regressions (search for similar items in EconPapers)
JEL-codes: C22 E44 G11 G13 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2014-08-01
New Economics Papers: this item is included in nep-mac and nep-rmg
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://frbatlanta.org/-/media/Documents/research/ ... 014/wp1413.pdf?la=en Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedawp:2014-13

Ordering information: This working paper can be ordered from
pubs@frbatlanta.org

Access Statistics for this paper

More papers in FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta Contact information at EDIRC.
Bibliographic data for series maintained by Rob Sarwark (rob.sarwark@atl.frb.org).