Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195893 
Year of Publication: 
2017
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 5 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2017 [Pages:] 1-20
Publisher: 
MDPI, Basel
Abstract: 
This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging strategies with a wide family of risk measures and pricing rules, and study the conditions under which the hedging problem admits a solution and pricing is possible. The practical implications of our proposed theoretical approach are illustrated with an application on hedging economic risk.
Subjects: 
imperfect markets
risk measures
hedging
pricing rule
quantile regression
JEL: 
G11
G13
C22
E44
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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