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• W3096035876 abstract "The NA condition is one of the pillars supporting the classical theory of financial mathematics. We revisit this condition for financial market models where a dynamic risk-measure defined on [Formula: see text] is fixed to characterize the family of acceptable wealths that play the role of nonnegative financial positions. We provide in this setting a new version of the fundamental theorem of asset pricing and we deduce a dual characterization of the super-hedging prices (called risk-hedging prices) of a European option. Moreover, we show that the set of all risk-hedging prices is closed under NA. At last, we provide a dual representation of the risk-measure on [Formula: see text] under some conditions." @default.
• W3096035876 created "2020-11-09" @default.
• W3096035876 creator A5022241843 @default.
• W3096035876 creator A5041761461 @default.
• W3096035876 date "2021-09-01" @default.
• W3096035876 modified "2023-10-05" @default.
• W3096035876 title "COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION" @default.
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• W3096035876 doi "https://doi.org/10.1142/s0219024921500370" @default.
• W3096035876 hasPublicationYear "2021" @default.
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