Artikel
Good-deal bounds for option prices under value-at-risk and expected shortfall constraints
In this paper, we deal with the pricing of European options in an incomplete market. We use the common risk measures Value-at-Risk and Expected Shortfall to define good-deals on a financial market with log-normally distributed rate of returns. We show that the pricing bounds obtained from the Value-at-Risk admit a non-smooth behavior under parameter changes. Additionally, we find situations in which the seller's bound for a call option is smaller than the buyer's bound. We identify the missing convexity of the Value-at-Risk as main reason for this behavior. Due to the strong connection between good-deal bounds and the theory of risk measures, we further obtain new insights in the finiteness and the continuity of risk measures based on multiple eligible assets in our setting.
- Sprache
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Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 4 ; Pages: 1-22 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
good-deal bounds
riskmeasures
multiple eligible assets
Value-at-Risk
Expected Shortfall
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Desmettre, Sascha
Laudagé, Christian
Sass, Jörn
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
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2020
- DOI
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doi:10.3390/risks8040114
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Artikel
Beteiligte
- Desmettre, Sascha
- Laudagé, Christian
- Sass, Jörn
- MDPI
Entstanden
- 2020
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