Upper and lower bounds on dynamic risk indifference prices in incomplete markets
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- Xavier De Scheemaekere, 2010. "Upper and lower bounds on dynamic risk indifference prices in incomplete markets," Working Papers CEB 10-044, ULB -- Universite Libre de Bruxelles.
References listed on IDEAS
- Foellmer,Hans & Schweizer,Martin, "undated". "Hedging of contingent claims under incomplete information," Discussion Paper Serie B 166, University of Bonn, Germany.
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- Carr, Peter & Geman, Helyette & Madan, Dilip B., 2001. "Pricing and hedging in incomplete markets," Journal of Financial Economics, Elsevier, vol. 62(1), pages 131-167, October.
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- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
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More about this item
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
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