2006/05/02 by Alexander S. Cherny, Dilip B. Madan, Cherny, Alexander S. +1
Economics, Econometrics and Finance · Mathematics · #91B24 #91B30 #91B50 #FOS: Economics and business #FOS: Mathematics #Probability (math.PR) #Risk Management (q-fin.RM) #math.PR #msc:91B24 #msc:91B30 #msc:91B50 #q-fin.RM
paper · pdf · doi:10.48550/arxiv.math/0605064
arxiv created 2006/05/02 · arxiv updated 2009/12/01
We propose a pricing technique based on coherent risk measures, which enables one to get finer price intervals than in the No Good Deals pricing. The main idea consists in splitting a liability into several parts and selling these parts to different agents. The technique is closely connected with the convolution of coherent risk measures and equilibrium considerations. Furthermore, we propose a way to apply the above technique to the coherent estimation of the Greeks.