Artikel
A robust approach to hedging and pricing in imperfect markets
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.
- Sprache
-
Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 5 ; Year: 2017 ; Issue: 3 ; Pages: 1-20 ; Basel: MDPI
- Klassifikation
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Wirtschaft
Portfolio Choice; Investment Decisions
Contingent Pricing; Futures Pricing; option pricing
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Financial Markets and the Macroeconomy
- Thema
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imperfect markets
risk measures
hedging
pricing rule
quantile regression
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Assa, Hirbod
Gospodinov, Nikolay
- Ereignis
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Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2017
- DOI
-
doi:10.3390/risks5030036
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Assa, Hirbod
- Gospodinov, Nikolay
- MDPI
Entstanden
- 2017
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