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Pricing and hedging European options with discrete-time coherent risk

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  • Alexander Cherny

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    File URL: http://hdl.handle.net/10.1007/s00780-007-0050-8
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 11 (2007)
    Issue (Month): 4 (October)
    Pages: 537-569

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    Handle: RePEc:spr:finsto:v:11:y:2007:i:4:p:537-569

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    Related research

    Keywords: Dynamic coherent risk measure; Dynamic tail VaR; Dynamic weighted VaR; Fundamental theorem of asset pricing; Hedging cash flow streams; No good deals; Price contribution; Pricing cash flow streams; Risk management; Risk measurement; 91B30; 91B70; G13; G32;

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    1. Ioannis Karatzas & Jaksa Cvitanic, 1999. "On dynamic measures of risk," Finance and Stochastics, Springer, vol. 3(4), pages 451-482.
    2. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    3. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71.
    4. Geman, Hélyette & Madan, Dilip B., 2004. "Pricing in incomplete markets : from absence of good deals to acceptable risk," Economics Papers from University Paris Dauphine 123456789/1063, Paris Dauphine University.
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    Cited by:
    1. Mustafa Pınar, 2011. "Gain–loss based convex risk limits in discrete-time trading," Computational Management Science, Springer, vol. 8(3), pages 299-321, August.
    2. Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler & Rodrigo Rodriguez, 2012. "Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices," Papers 1205.4790, arXiv.org, revised Jun 2013.
    3. Dilip Madan & Martijn Pistorius & Mitja Stadje, 2013. "On consistent valuations based on distorted expectations: from multinomial random walks to L\'{e}vy processes," Papers 1301.3531, arXiv.org.

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