Upper and lower bounds on dynamic risk indifference prices in incomplete markets
In the context of an incomplete market with a Brownian filtration and a fixed finite time horizon, this paper proves that for general dynamic convex risk measures, the buyer's and seller's risk indifference prices of a contingent claim are bounded from below and above by the dynamic lower and upper hedging prices, respectively.
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- 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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