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Cooperative Hedging in the Complete Market under g-expectation Constraint |
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| Authors: | Qing Zhou School of Science Beijing University of Posts Telecommunications Beijing China |
| Institution: | Qing Zhou School of Science,Beijing University of Posts and Telecommunications,Beijing 100876,China |
| Abstract: | The paper studies the muiti-agent cooperative hedging problem of contingent claims in the complete market when the g-expected shortfall risks are bounded. We give the optimal cooperative hedging strategy explicitly by the Neyman-Pearson lemma under g-probability. |
| Keywords: | hedging Neyman Pearson lemma g-probability backward stochastic differential equation |
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