Risk measure pricing and hedging in the presence of transaction costs. (English) Zbl 1210.91059
Summary: Recently a risk measure pricing and hedging is replacing a utility-based maximization problem in the literature. In this paper, we treat the optimal problem of risk measure pricing and hedging in the friction market, i.e. in the presence of transaction costs. The risk measure pricing is also verified with the contexts in the literature.
MSC:
| 91G20 | Derivative securities (option pricing, hedging, etc.) |
| 91B30 | Risk theory, insurance (MSC2010) |
| 60G48 | Generalizations of martingales |
| 91B24 | Microeconomic theory (price theory and economic markets) |
Keywords:
risk convex measure; option pricing; incomplete markets; transaction costs; utility indifference price; quasi left-continuousReferences:
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