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.
Original language | English |
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Article number | 1750011 |
Journal | International Journal of Theoretical and Applied Finance |
Volume | 20 |
Issue number | 2 |
DOIs | |
Publication status | Published - 2017 Mar 1 |
Keywords
- Convex risk measure
- convex constraints
- fundamental theorem of asset pricing
- good deal bound
- superhedging cost
ASJC Scopus subject areas
- Finance
- Economics, Econometrics and Finance(all)