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Equal Risk Pricing Under Convex Trading Constraints

https://doi.org/10.2139/ssrn.2622037
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18/18 checkable references clean · checked 2026-07-25

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

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The 18 checked references that resolve
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On the coherence of expected shortfall
resolves10.1111/1467-9965.00068
Coherent Measures of Risk
resolves10.1090/conm/351/06389
Optimal derivatives design under dynamic risk measures
resolves10.1007/s00780-005-0152-0
Inf-convolution of risk measures and optimal risk transfer
resolves10.1111/1467-9965.00001
On the Existence of Minimax Martingale Measures
resolves10.1016/s0304-405x(01)00075-7
Pricing and hedging in incomplete markets
resolves10.1007/s007800050071
On dynamic measures of risk
resolves10.1007/s007800200072
Convex measures of risk and trading constraints
resolves10.1111/1467-9965.00079
The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
resolves10.1007/s007800100052
Minimax and minimal distance martingale measures and their relationship to portfolio optimization
resolves10.1515/9781400833115.44
Chapter Two. Utility Indifference Pricing: An Overview
resolves10.1111/j.0960-1627.2005.00217.x
ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
resolves10.1007/bf00047211
Variational inequalities and the pricing of American options
resolves10.1214/aoap/1034968135
On the pricing of contingent claims under constraints
resolves10.1007/s00780-003-0112-5
An example of indifference prices under exponential preferences
resolves10.1111/1467-9965.00093
Pricing Via Utility Maximization and Entropy
resolves10.1007/BF00250676
On optimal stopping and free boundary problems
resolves10.1007/s10436-005-0023-x
Risk measure pricing and hedging in incomplete markets
The 5 references without a DOI — listed, not checked
no DOI — not checkedOption pricing in incomplete markets
no DOI — not checkedref9
no DOI — not checkedref10
no DOI — not checkedHedging of contingent claims under incomplete information
no DOI — not checkedref19
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