BIELECKI, TOMASZ R.; CIALENCO, IGOR; IYIGUNLER, ISMAIL; … - In: International Journal of Theoretical and Applied … 16 (2013) 01, pp. 1350002-1
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of Asset Pricing using the dynamic coherent risk measures....