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ISSN : 1226-0657

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Vol.21 No.4

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THE EXISTENCE OF THE RISK-EFFICIENT OPTIONS

Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics / Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, (P)1226-0657; (E)2287-6081
2014, v.21 no.4, pp.307-316
https://doi.org/10.7468/jksmeb.2014.21.4.307
Kim, Ju Hong
Kim,, J. H. (2014). THE EXISTENCE OF THE RISK-EFFICIENT OPTIONS. Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, 21(4), 307-316, https://doi.org/10.7468/jksmeb.2014.21.4.307

Abstract

We prove the existence of the risk-efficient options proposed by Xu [7]. The proof is given by both indirect and direct ways. Schied [6] showed the existence of the optimal solution of equation (2.1). The one is to use the Schied's result. The other one is to find the sequences converging to the risk-efficient option.

keywords
risk-efficient options, incomplete market, risk measures, optimal solution

Reference

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Mingxin Xu. (2006). Risk measure pricing and hedging in incomplete markets. Annals of Finance, 2, 51-71. 10.1007/s10436-005-0023-x.

Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics

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