Pricing under dynamic risk measures

Jun Zhao, Emmanuel Lépinette () and Peibiao Zhao ()
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Jun Zhao: USTB - Department of Polymer Science and Engineering - USTB - University of Science and Technology Beijing [Beijing]
Emmanuel Lépinette: CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Abstract: In this paper, we revisit the discrete-time partial hedging problem of contingent claims with respect to a dynamic risk-measure defined by its acceptance sets. A natural and sufficient weak no-arbitrage condition is studied to characterize the minimal risk-hedging prices. The method relies only on conditional optimization techniques. In particular, we do not need robust representation of the risk-measure and we do not suppose the existence of a risk-neutral probability measure. Numerical experiments illustrate the efficiency of the method.

Keywords: Conditional essential infimum; Absence of immediate profit; Dynamic risk-measures; Random sets; Risk-hedging prices; Super-hedging; Dynamic risk measures; Time consistency; Absence of immediate pro t; Pricing MSC: 49J53; 60D05; 91G20; 91G80 (search for similar items in EconPapers)
Date: 2019
Note: View the original document on HAL open archive server: https://hal.science/hal-02135232v2
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Published in Open Mathematics Journal, 2019, ⟨10.1515/math-2019-0070⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02135232

DOI: 10.1515/math-2019-0070

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