GOOD DEAL BOUNDS with CONVEX CONSTRAINTS

研究成果: Article査読

1 被引用数 (Scopus)

抄録

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.

本文言語English
論文番号1750011
ジャーナルInternational Journal of Theoretical and Applied Finance
20
2
DOI
出版ステータスPublished - 2017 3 1

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学および金融学(全般)

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