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Local risk-minimization for Lévy markets

Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10011333451

Numerical analysis on local risk-minimization for exponential Lévy models

Arai, Takuji; Imai, Yuto; Suzuki, Ryoichi - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10011454349

Local risk-minimization for Barndorff-Nielsen and Shephard models

Arai, Takuji; Imai, Yuto; Suzuki, Ryoichi - In: Finance and stochastics 21 (2017) 2, pp. 551-592

Persistent link: https://www.econbiz.de/10011944406

Convex risk measures for good deal bounds

Arai, Takuji; Fukasawa, Masaaki - arXiv.org - 2011

We study convex risk measures describing the upper and lower bounds of a good deal bound, which is a subinterval of a no-arbitrage pricing bound. We call such a convex risk measure a good deal valuation and give a set of equivalent conditions for its existence in terms of market. A good deal...

Persistent link: https://www.econbiz.de/10009225808