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:	2014-08-01
Authors:	Gospodinov, Nikolay ; Assa, Hirbod
Institutions:	Federal Reserve Bank of Atlanta
Subject:	imperfect markets \| risk measures \| hedging \| pricing rule \| quantile regression

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Extent:	application/pdf
Series:	Working Paper.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Working Paper Number 2014-13 33 pages
Classification:	C22 - Time-Series Models ; E44 - Financial Markets and the Macroeconomy ; G11 - Portfolio Choice ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010942126