{
  "id": "math/0605064",
  "version": "v1",
  "published": "2006-05-02T14:59:24.000Z",
  "updated": "2006-05-02T14:59:24.000Z",
  "title": "Pricing and hedging in incomplete markets with coherent risk",
  "authors": [
    "Alexander S. Cherny",
    "Dilip B. Madan"
  ],
  "categories": [
    "math.PR",
    "q-fin.RM"
  ],
  "abstract": "We propose a pricing technique based on coherent risk measures, which enables one to get finer price intervals than in the No Good Deals pricing. The main idea consists in splitting a liability into several parts and selling these parts to different agents. The technique is closely connected with the convolution of coherent risk measures and equilibrium considerations. Furthermore, we propose a way to apply the above technique to the coherent estimation of the Greeks.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2006-05-02T14:59:24.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "91B24",
      "91B30",
      "91B50"
    ],
    "keywords": [
      "incomplete markets",
      "coherent risk measures",
      "main idea consists",
      "finer price intervals",
      "coherent estimation"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2006math......5064C"
    }
  }
}