Assa, Hirbod and Gospodinov, Nikolay
(2017)
A Robust Approach to Hedging and Pricing in Imperfect Markets.
RISKS, 5 (3).
p. 36.
Abstract
This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging strategies with a wide family of risk measures and pricing rules, and study the conditions under which the hedging problem admits a solution and pricing is possible. The practical implications of our proposed theoretical approach are illustrated with an application on hedging economic risk.
Item Type: | Article |
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Uncontrolled Keywords: | imperfect markets, risk measures, hedging, pricing rule, quantile regression |
Depositing User: | Symplectic Admin |
Date Deposited: | 14 Aug 2018 15:01 |
Last Modified: | 19 Jan 2023 01:28 |
DOI: | 10.3390/risks5030036 |
Open Access URL: | http://www.mdpi.com/2227-9091/5/3/36 |
Related URLs: | |
URI: | https://livrepository.liverpool.ac.uk/id/eprint/3025014 |