Arbeitspapier
Hedging and pricing in imperfect markets under non-convexity
This paper proposes a robust 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 for a wide family of risk measures and pricing rules, which are possibly non-convex. The practical implications of our proposed theoretical approach are illustrated with an application on hedging economic risk.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 2014-13
- Classification
-
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
- Subject
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imperfect markets
risk measures
hedging
pricing rule
quantile regression
- Event
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Geistige Schöpfung
- (who)
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Assa, Hirbod
Gospodinov, Nikolay
- Event
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Veröffentlichung
- (who)
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Federal Reserve Bank of Atlanta
- (where)
-
Atlanta, GA
- (when)
-
2014
- Handle
- Last update
- 10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Assa, Hirbod
- Gospodinov, Nikolay
- Federal Reserve Bank of Atlanta
Time of origin
- 2014
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