Skip to main content
Kent Academic Repository

A Robust Approach to Hedging and Pricing in Imperfect Markets

Assa, H., Gospodinov, Nikolay (2017) A Robust Approach to Hedging and Pricing in Imperfect Markets. Risks, 5 (3). ISSN 2227-9091. (doi:10.3390/risks5030036) (KAR id:87825)


This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging strategies with a wide family of risk measures and pricing rules, and study the conditions under which the hedging problem admits a solution and pricing is possible. The practical implications of our proposed theoretical approach are illustrated with an application on hedging economic risk.

Item Type: Article
DOI/Identification number: 10.3390/risks5030036
Uncontrolled keywords: imperfect markets; risk measures; hedging; pricing rule; quantile regression
Subjects: H Social Sciences
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Hirbod Assa
Date Deposited: 29 Apr 2021 14:22 UTC
Last Modified: 10 Dec 2022 05:12 UTC
Resource URI: (The current URI for this page, for reference purposes)

University of Kent Author Information

  • Depositors only (login required):

Total unique views for this document in KAR since July 2020. For more details click on the image.