Coherent Risk Measure on $L^0$: NA Condition, Pricing and Dual Representation

Emmanuel Lepinette and Duc Thinh Vu

Papers from arXiv.org

Abstract: The NA condition is one of the pillars supporting the classical theory of financial mathematics. We revisit this condition for financial market models where a dynamic risk-measure defined on $L^0$ is fixed to characterize the family of acceptable wealths that play the role of non negative financial positions. We provide in this setting a new version of the fundamental theorem of asset pricing and we deduce a dual characterization of the super-hedging prices (called risk-hedging prices) of a European option. Moreover, we show that the set of all risk-hedging prices is closed under NA. At last, we provide a dual representation of the risk-measure on $L^0$ under some conditions.

Date: 2024-05
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in IJTAF (2021)

Downloads: (external link)
http://arxiv.org/pdf/2405.06764 Latest version (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:arx:papers:2405.06764

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().