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  • 한국과학기술정보연구원(KISTI) 서울분원 대회의실(별관 3층)
  • 2024년 07월 03일(수) 13:30
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  • P-ISSN1226-0657
  • E-ISSN2287-6081
  • KCI

ISSN : 1226-0657

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Vol.21 No.4

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THE EXISTENCE OF THE RISK-EFFICIENT OPTIONS

THE EXISTENCE OF THE RISK-EFFICIENT OPTIONS

한국수학교육학회지시리즈B:순수및응용수학 / 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 (Department of Mathematics, Sungshin Women's University)
Kim, Ju Hong. (2014). THE EXISTENCE OF THE RISK-EFFICIENT OPTIONS. 한국수학교육학회지시리즈B:순수및응용수학, 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

참고문헌

1.

F. Delbaen & W. Schachermayer. (1994). A general version of the fundamental theorem of asset pricing. Mathematische Annalen, 300, 463-520. 10.1007/BF01450498.

2.

P. Artzner, F. Delbaen, J.-M. Eber & D. Heath. (1999). Coherent measures of risk. Mathematical Finance, 9, 203-223. 10.1111/1467-9965.00068.

3.

F. Biagini & M. Fritteli. (1999). Utility maximization in incomplete markets for unbounded processes. Finance and Stochastics, 9, 493-517.

4.

F. Delbaen. Coherent risk measures on general probability spaces, Advances in finance and stochastics: Essays in honor of Dieter Sondermann.

5.

H. Follmer & A. Schied. Stochastic Finance:An Introduction in Discrete Time.

6.

A. Schied. (2004). On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals. Annals of Applied Probability, 14, 1398-1423. 10.1214/105051604000000341.

7.

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

한국수학교육학회지시리즈B:순수및응용수학

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