Pricing and hedging with globally and instantaneously vanishing risk

Leitner Johannes

Statistics & Risk Modeling, 2007, vol. 25, issue 4, 311-332

Abstract: Using a backward stochastic differential equation (BSDE) approach in a Brownian motion setting, we determine in an incomplete market an initial price Y0 for a non-attainable claim ξ ∈ Lp, 1

Keywords: optimal hedging; pricing of non-attainable claims; incomplete markets; coherent risk measures; Δ-hedging; market risk; BSDE; g-expectation; generalized Black-Scholes equation; option pricing; robust martingale representation (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1524/stnd.2007.0906

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