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Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures
http://hdl.handle.net/2241/114750
http://hdl.handle.net/2241/11475037ccaeab-3b5d-41a0-852f-57d2a668ce8f
名前 / ファイル | ライセンス | アクション |
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JOTA_151-3 (482.7 kB)
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Item type | Journal Article(1) | |||||
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公開日 | 2011-12-05 | |||||
タイトル | ||||||
タイトル | Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_6501 | |||||
タイプ | journal article | |||||
著者 |
Gotoh, Jun-ya
× Gotoh, Jun-ya× Yamamoto, Yoshitsugu× Yao, Weifeng |
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著者別名 |
山本, 芳嗣
× 山本, 芳嗣 |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | We generalize the notion of arbitrage based on the coherent risk measure, and investigate a mathematical optimization approach for tightening the lower and upper bounds of the price of contingent claims in incomplete markets. Due to the dual representation of coherent risk measures, the lower and upper bounds of price are located by solving a pair of semi-infinite linear optimization problems, which further reduce to linear optimization when conditional value-at-risk (CVaR) is used as risk measure. We also show that the hedging portfolio problem is viewed as a robust optimization problem. Tuning the parameter of the risk measure, we demonstrate by numerical examples that the two bounds approach to each other and converge to a price that is fair in the sense that seller and buyer face the same amount of risk. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Errata : The following numerical values should be quadrupled. p.626, l. 1 : 6.25 and 15.7895 p.626, l. 3 & 4 : 12.7232 p.627, l.21 : 11.3258 p.627 Fig.3 : vertical scale and 12.7232 in the caption p.628 Fig.4 : vertical scale and 11.3258 in the caption The authors acknowledge Ms.Dora Ludvig and Dr. Péter Csóka for pointing out the errors. |
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書誌情報 |
Journal of optimization theory and applications 巻 151, 号 3, p. 613-632, 発行日 2011-12 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 0022-3239 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA00253056 | |||||
DOI | ||||||
識別子タイプ | DOI | |||||
関連識別子 | 10.1007/s10957-011-9899-y | |||||
権利 | ||||||
権利情報 | © Springer Science+Business MediaThe final publication is available at www.springerlink.com | |||||
著者版フラグ | ||||||
値 | author | |||||
出版者 | ||||||
出版者 | Springer Science | |||||
URI | ||||||
識別子 | http://hdl.handle.net/2241/114750 | |||||
識別子タイプ | HDL |