Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures

Jun-ya Gotoh, Yoshitsugu Yamamoto, Weifeng Yao. Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures. J. Optimization Theory and Applications, 151(3):613-632, 2011. [doi]

Abstract

Abstract is missing.