Cooperative hedging in the complete market under <Emphasis Type="Italic">g</Emphasis>-expectation constraint |
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| Authors: | Qing Zhou |
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| Institution: | School of Science, Beijing University of Posts and Telecommunications, Beijing 100876, China |
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| 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. |
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| Keywords: | hedging Neyman Pearson lemma g-probability backward stochastic differential equation |
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