Upper and lower bounds on dynamic risk indifference prices in incomplete markets
Xavier De Scheemaekere ()
Papers from arXiv.org
In the context of an incomplete market with a Brownian filtration and a fixed finite time horizon, this paper proves that for general dynamic convex risk measures, the buyer's and seller's risk indifference prices of a contingent claim are bounded from below and above by the dynamic lower and upper hedging prices, respectively.
Date: 2009-09, Revised 2010-09
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Working Paper: Upper and lower bounds on dynamic risk indifference prices in incomplete markets (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0909.3219
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