14 citations · 30 across the 26 of their papers we have counts for
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q-fin.PR2011
Convex risk measures for good deal bounds
Takuji Arai, Masaaki Fukasawa
We study convex risk measures describing the upper and lower bounds of a good deal bound, which is a subinterval of a no-arbitrage pricing bound. We call such a convex risk measure…
q-fin.PR2011
Conservative delta hedging under transaction costs
Masaaki Fukasawa
Explicit robust hedging strategies for convex or concave payoffs under a continuous semimartingale model with uncertainty and small transaction costs are constructed. In an asympto…