Journal of applied mathematics & informatics
- Volume 23 Issue 1_2
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- Pages.293-310
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- 2007
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- 2734-1194(pISSN)
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- 2234-8417(eISSN)
RISK MEASURE PRICING AND HEDGING IN THE PRESENCE OF TRANSACTION COSTS
Abstract
Recently a risk measure pricing and hedging is replacing a utility-based maximization problem in the literature. In this paper, we treat the optimal problem of risk measure pricing and hedging in the friction market, i.e. in the presence of transaction costs. The risk measure pricing is also verified with the contexts in the literature.
Keywords
- Risk convex measure;
- option pricing;
- incomplete markets;
- transaction costs;
- utility indifference price;
- quasi left-continuous