Hedging and Pricing in Imperfect Markets Under Non-Convexity

This paper proposes a robust 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 for a wide family of risk measures and pricing rules which are possibly non-convex. The practical implications of our proposed theoretical approach are illustrated with an application on hedging economic risk

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Year of publication:	2014
Authors:	Assa, Hirbod
Other Persons:	Gospodinov, Nikolaj (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Hedging \| Unvollkommener Markt \| Incomplete market \| Theorie \| Theory

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