GOOD DEAL BOUNDS with CONVEX CONSTRAINTS

Takuji Arai

doi:10.1142/S021902491750011X

GOOD DEAL BOUNDS with CONVEX CONSTRAINTS

Takuji Arai

Department of Economic

Research output: Contribution to journal › Article

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
Article number	1750011
Journal	International Journal of Theoretical and Applied Finance
Volume	20
Issue number	2
DOIs	https://doi.org/10.1142/S021902491750011X
Publication status	Published - 2017 Mar 1

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Keywords

convex constraints
Convex risk measure
fundamental theorem of asset pricing
good deal bound
superhedging cost

ASJC Scopus subject areas

Finance
Economics, Econometrics and Finance(all)

Cite this

Arai, T. (2017). GOOD DEAL BOUNDS with CONVEX CONSTRAINTS. International Journal of Theoretical and Applied Finance, 20(2), [1750011]. https://doi.org/10.1142/S021902491750011X

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10.1142/S021902491750011X