GOOD DEAL BOUNDS with CONVEX CONSTRAINTS

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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 languageEnglish
Article number1750011
JournalInternational Journal of Theoretical and Applied Finance
Volume20
Issue number2
DOIs
Publication statusPublished - 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)

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