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Pricing under dynamic risk measures

Author

Listed:
  • Jun Zhao

    (USTB - Department of Polymer Science and Engineering - USTB - University of Science and Technology Beijing [Beijing])

  • Emmanuel Lépinette

    (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • Peibiao Zhao

Abstract

In this paper, we revisit the discrete-time partial hedging problem of contingent claims with respect to a dynamic risk-measure defined by its acceptance sets. A natural and sufficient weak no-arbitrage condition is studied to characterize the minimal risk-hedging prices. The method relies only on conditional optimization techniques. In particular, we do not need robust representation of the risk-measure and we do not suppose the existence of a risk-neutral probability measure. Numerical experiments illustrate the efficiency of the method.

Suggested Citation

  • Jun Zhao & Emmanuel Lépinette & Peibiao Zhao, 2019. "Pricing under dynamic risk measures," Post-Print hal-02135232, HAL.
    • Handle: RePEc:hal:journl:hal-02135232
    DOI: 10.1515/math-2019-0070
    Note: View the original document on HAL open archive server: https://hal.science/hal-02135232v2
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    References listed on IDEAS

    as
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