Pricing and hedging in incomplete markets

By Peter P. Carr, Helyette Geman, Dilip B Madan 5. 2001

290 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/0e1e408fc1a304e59637768454f06be7fffdf23a

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Citations in the corpus

Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk (2007, methodology): “This has first been done in a static setting, as in Carr, Geman and Madan [15], Föllmer and Schied [36], Staum [62], Barrieu and El Karoui [6] and Bion-Nadal [11].”
Pricing with Coherent Risk (2006, background): “Carr, Geman, and Madan [9] (see also the review paper [10]) studied this technique in a probabilistic framework (although they do not use the term “good deal”), while Jaschke and Küchler [35] studied this technique in a topological space framework in the spirit of Harrison and Kreps [34] (see also ”
Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2004, background): “For relations of coherent and convex monetary risk measures to pricing and hedging in incomplete markets, we refer to Jaschke and Küchler (2001), Carr et al. (2001), Frittelli and Rosazza Gianin (2004), and Staum (2004).”
Optimal reinsurance with general risk measures (2009, unknown): “For example, Laeven and Goovaerts (2004) and Dhaene et al. (2008) analyze the capital allocation problem, Carr et al. (2001) and Nakano (2004) draw on risk measures to price in incomplete markets, Basak and Shapiro (2001), Mansini et al. (2007) and Schied (2007) deal with risk management, portfolio…”
An enhanced model for portfolio choice with SSD criteria: a constructive approach (2011, methodology): “1 Formulation using tails In their multi-objective model (2), Roman, Darby-Dowman, and Mitra computed tails in the following form, by adapting the CVaR-optimisation formula of Rockafellar and Uryasev (2000, 2002):”
COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS (2005, unknown): “markets. Carr et al. (2001) have shown that collections of probability measures can play”
Risk measure pricing and hedging in incomplete markets (2006, background): “[7] proposed an approach of pricing options in incomplete markets by a specific set of equivalent probability measures which are not necessarily local martingale measures.”
RISK MEASURES ON ORLICZ HEARTS (2009, background): “To different extents this is also exploited for the representation of convex functionals in Cheridito et al. (2004), Ruszczyński and Shapiro (2006), Biagini and Frittelli (2006), Delbaen (2006).”
Time-Changed Levy Processes and Option Pricing ⁄ (2002, unknown): “However, as argued in Carr, Geman, and Madan (2001), a large number of model candidates help tremendously in completing the market in a weak sense and in pricing and hedging financial assets.”
Sato processes and the valuation of structured products (2009, methodology): “1998), the Normal Inverse Gaussian (NIG) (BarndorffNielsen 1998), and the Meixner (MXNR) process (Schoutens 2002, 2003) reported by Carr et al. (2007), are the CGMY (Carr et al.”
RISK MEASURES: RATIONALITY AND DIVERSIFICATION (2010, background): “…these measures naturally appear in pricing and hedging problems in incomplete markets, as shown, for example, by El Karoui and Quenez (1997), Carr, Geman, and Madan (2001), We thank Damir Filipović, Marco Frittelli, Michael Kupper, Frank Riedel, Walter Schachermayer, and, especially, Dilip…”
Fundamental Theorems of Asset Pricing for Good Deal Bounds (2004, background): “The present paper is a generalization of the results of previous authors on good deal bounds, especially Jaschke and Küchler (2000) and Carr et al. (2001).”
CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (2007, background): “Journal Compilation C© 2009 Wiley Periodicals, Inc. 561 El Karoui and Quenez (1996), Carr, Geman, and Madan (2001), Frittelli and Rosazza Gianin (2004), Staum (2004), Filipovic and Kupper (2008), and Jouini, Schachermayer, and Touzi (2008).”
Liquidity risk theory and coherent measures of risk (2008, unknown): “…convexity ½ Xþ ð1 ÞY ðX Þ þ ð1 Þ ðY Þ, 2 ð0, 1Þ: These weaker axioms define a larger space of ‘convex measures of risk’ introduced and widely described in Heath (2000), Carr et al. (2001), Frittelli and Rosazza Gianin (2002) and Föllmer and Schied (2002), which allow (PH) and (S) violations.”