The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
This paper deals with the construction of “smooth good deals” (SGD), i.e., sequences of self-financing strategies whose global risk diverges to minus infinity and such that every security in every strategy of the sequence is a “smooth” derivative with a bounded delta. Since delta is bounded, digital options are excluded. In fact, the pay-off of every option in the sequence is continuos (and therefore...
This paper has considered a risk measure ρ and a (maybe incomplete and/or imperfect) arbitrage-free market with pricing rule Π. They are said to be compatible if there are no reachable strategies y such that Π(y) is bounded and ρ(y) is close to −∞. We show that the lack of compatibility leads to meaningless situations in financial or actuarial applications. The presence of compatibility is characterized...
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.