Good deal bounds with convex constraints
Mathematical Finance
2015-06-02 v1
Abstract
We investigate the structure of good deal bounds, which are subintervals of a no-arbitrage pricing bound, for financial market models with convex constraints as an extension of Arai and Fukasawa (2014). The upper and lower bounds of a good deal bound are naturally described by a convex risk measure. We call such a risk measure a good deal valuation; and study its properties. We also discuss superhedging cost and Fundamental Theorem of Asset Pricing for convex constrained markets.
Cite
@article{arxiv.1506.00396,
title = {Good deal bounds with convex constraints},
author = {Takuji Arai},
journal= {arXiv preprint arXiv:1506.00396},
year = {2015}
}