Nonconvex optimization for pricing and hedging in imperfect markets
نویسندگان
چکیده
منابع مشابه
A Robust Approach to Hedging and Pricing in Imperfect Markets
This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging strategies with a wide family of risk measures and pricing rules, and study the conditions under which the hedging problem admits a solution and pric...
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ژورنال
عنوان ژورنال: Computers & Mathematics with Applications
سال: 2006
ISSN: 0898-1221
DOI: 10.1016/j.camwa.2006.08.009