GOOD DEAL BOUNDS with CONVEX CONSTRAINTS

研究成果: Article

抜粋

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.

元の言語English
記事番号1750011
ジャーナルInternational Journal of Theoretical and Applied Finance
20
発行部数2
DOI
出版物ステータスPublished - 2017 3 1

ASJC Scopus subject areas

  • Finance
  • Economics, Econometrics and Finance(all)

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