Upper and lower bounds on dynamic risk indifference prices in incomplete markets
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Other versions of this item:
- Xavier De Scheemaekere, 2009. "Upper and lower bounds on dynamic risk indifference prices in incomplete markets," Papers 0909.3219, arXiv.org, revised Sep 2010.
References listed on IDEAS
- Stefan Ankirchner & Peter Imkeller & Goncalo dos Reis, 2007. "Pricing and hedging of derivatives based on non-tradable underlyings," Papers 0712.3746, arXiv.org.
- 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.
- N. Bellamy & M. Jeanblanc, 2000. "Incompleteness of markets driven by a mixed diffusion," Finance and Stochastics, Springer, vol. 4(2), pages 209-222.
- 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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More about this item
KeywordsBackward stochastic differential equations; Dynamic convex risk measures; Incomplete markets; Indifference pricing;
- 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-2010-09-18 (All new papers)
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