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We investigate the structure of good deal bounds, which are subintervals of a no-arbitrage pricing bound, for financial market models with convex constraints as an extension of Arai and Fukasawa (2014). The upper and lower bounds of a good deal bound are naturally described by a convex risk measure. We call such a risk measure a good deal valuation; and study its properties. We also discuss superhedging cost and Fundamental Theorem of Asset Pricing for convex constrained markets.
We shall provide in this paper good deal pricing bounds for contingent claims induced by the shortfall risk with some loss function. Assumptions we impose on loss functions and contingent claims are very mild. We prove that the upper and lower bounds
This paper expands the work on distributionally robust newsvendor to incorporate moment constraints. The use of Wasserstein distance as the ambiguity measure is preserved. The infinite dimensional primal problem is formulated; problem of moments dual
Let $(Phi,Psi)$ be a conjugate pair of Orlicz functions. A set in the Orlicz space $L^Phi$ is said to be order closed if it is closed with respect to dominated convergence of sequences of functions. A well known problem arising from the theory of ris
We consider the problem of finding a model-free upper bound on the price of an American put given the prices of a family of European puts on the same underlying asset. Specifically we assume that the American put must be exercised at either $T_1$ or
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and terminal wealth,