A Robust Approach to Hedging and Pricing in Imperfect Markets†
AbstractThis 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. View Full-Text
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Assa, H.; Gospodinov, N. A Robust Approach to Hedging and Pricing in Imperfect Markets. Risks 2017, 5, 36.
Assa H, Gospodinov N. A Robust Approach to Hedging and Pricing in Imperfect Markets. Risks. 2017; 5(3):36.Chicago/Turabian Style
Assa, Hirbod; Gospodinov, Nikolay. 2017. "A Robust Approach to Hedging and Pricing in Imperfect Markets." Risks 5, no. 3: 36.
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