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- W3125272290 abstract "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." @default.
- W3125272290 created "2021-02-01" @default.
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- W3125272290 date "2006-05-01" @default.
- W3125272290 modified "2023-09-27" @default.
- W3125272290 title "Pricing and hedging in incomplete markets with coherent risk" @default.
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