Risk measure pricing and hedging in incomplete markets
β Scribed by Mingxin Xu
- Publisher
- Springer
- Year
- 2005
- Tongue
- English
- Weight
- 187 KB
- Volume
- 2
- Category
- Article
- ISSN
- 1614-2446
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## Abstract This paper follows the framework of P. Klein (1996) to price vulnerable options when the market is incomplete. Vulnerable options, which are usually traded in the overβtheβcounter market, may not only face the risk of default but also the risk of illiquidity. Thus, pricing such options
The paper deals with imperfect financial markets and provides new methods to overcome many inefficiencies caused by frictions. Transaction costs are quite general and far from linear or convex. The concepts of pseudoarbitrage and efficiency are introduced and deeply analyzed by means of both scalar