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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)

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Official URL
http://dx.doi.org/10.3390/risks5030036

Abstract

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: 05 May 2021 03:14 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/87825 (The current URI for this page, for reference purposes)
Assa, H.: https://orcid.org/0000-0002-4429-8684
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