摘要 : We develop a methodology for optimal design of financial instruments aimed to hedge some forms of risk that is not traded on financial markets. The idea is to minimize the risk of the issuer under the constraint imposed by a buyer... 展开
作者 | Barrieu P El Karoui N |
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作者单位 | |
期刊名称 | 《Finance and stochastics》 |
总页数 | 30 |
语种/中图分类号 | 英语 / F8 |
关键词 | inf-convolution risk measure optimal design indifference pricing hedging strategy ENTROPY MARTINGALE MEASURE UTILITY MAXIMIZATION VALUATION |
馆藏号 | N2008EPST0000779 |