Economics at your fingertips  


Takuji Arai ()
Additional contact information
Takuji Arai: Department of Economics, Keio University, 2-15-45 Mita, Minato-ku, Tokyo 108-8345, Japan

International Journal of Theoretical and Applied Finance (IJTAF), 2017, vol. 20, issue 02, 1-15

Abstract: We investigate the structure of good deal bounds, which are subintervals of a no-arbitrage pricing bound, for financial market models with convex constraints as an extension of Arai & Fukasawa (2014). The upper and lower bounds of a good deal bound are naturally described by a convex risk measure. We call such a risk measure a good deal valuation; and study its properties. We also discuss superhedging cost and Fundamental Theorem of Asset Pricing for convex constrained markets.

Keywords: Convex risk measure; good deal bound; convex constraints; superhedging cost; fundamental theorem of asset pricing (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
Access to full text is restricted to subscribers.

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:

Ordering information: This journal article can be ordered from

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Series data maintained by Tai Tone Lim ().

Page updated 2017-12-23
Handle: RePEc:wsi:ijtafx:v:20:y:2017:i:02:n:s021902491750011x