Gain-loss based convex risk limits in discrete-time trading
| dc.citation.epage | 321 | en_US |
| dc.citation.issueNumber | 3 | en_US |
| dc.citation.spage | 299 | en_US |
| dc.citation.volumeNumber | 8 | en_US |
| dc.contributor.author | Pinar, M. C. | en_US |
| dc.date.accessioned | 2015-07-28T11:59:51Z | |
| dc.date.available | 2015-07-28T11:59:51Z | |
| dc.date.issued | 2011-08 | en_US |
| dc.department | Department of Industrial Engineering | en_US |
| dc.description.abstract | We present an approach for pricing and hedging in incomplete markets, which encompasses other recently introduced approaches for the same purpose. In a discrete time, finite space probability framework conducive to numerical computation we introduce a gain–loss ratio based restriction controlled by a loss aversion parameter, and characterize portfolio values which can be traded in discrete time to acceptability. The new risk measure specializes to a well-known risk measure (the Carr–Geman– Madan risk measure) for a specific choice of the risk aversion parameter, and to a robust version of the gain–loss measure (the Bernardo–Ledoit proposal) for a specific choice of thresholds. The result implies potentially tighter price bounds for contingent claims than the no-arbitrage price bounds. We illustrate the price bounds through numerical examples from option pricing. | en_US |
| dc.description.provenance | Made available in DSpace on 2015-07-28T11:59:51Z (GMT). No. of bitstreams: 1 10.1007-s10287-010-0122-7.pdf: 323969 bytes, checksum: 46301cd0355fcb7d4eb803a1dde279e5 (MD5) | en |
| dc.identifier.doi | 10.1007/s10287-010-0122-7 | en_US |
| dc.identifier.eissn | 1619-6988 | |
| dc.identifier.issn | 1619-697X | |
| dc.identifier.uri | http://hdl.handle.net/11693/12051 | |
| dc.language.iso | English | en_US |
| dc.publisher | Springer -Verlag | en_US |
| dc.relation.isversionof | http://dx.doi.org/10.1007/s10287-010-0122-7 | en_US |
| dc.source.title | Computational Management Science | en_US |
| dc.subject | Incomplete Markets | en_US |
| dc.subject | Acceptability | en_US |
| dc.subject | Martingale Measure | en_US |
| dc.subject | Contingent Claim | en_US |
| dc.subject | Pricing | en_US |
| dc.title | Gain-loss based convex risk limits in discrete-time trading | en_US |
| dc.type | Article | en_US |
Files
Original bundle
1 - 1 of 1
Loading...
- Name:
- 10.1007-s10287-010-0122-7.pdf
- Size:
- 316.38 KB
- Format:
- Adobe Portable Document Format