paper
Upper and lower bounds on dynamic risk indifference prices in incomplete markets
Xavier De Scheemaekere
Upper and lower bounds on dynamic risk indifference prices in incomplete markets
Xavier De Scheemaekere
Paper2009-09-17English
derivatives pricingarxiv
Description
In the context of an incomplete market with a Brownian filtration and a fixed finite time horizon, this paper proves that for general dynamic convex risk measures, the buyer's and seller's risk indifference prices of a contingent claim are bounded from below and above by the dynamic lower and upper hedging prices, respectively.
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