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摘要翻译：
本文在不完全市场条件下，证明了对于一般的动态凸风险测度，未定权益的买方和卖方的风险无差别价格分别以动态的套期保值价格下限和上限为界。
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英文标题：
《Upper and lower bounds on dynamic risk indifference prices in incomplete
markets》
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作者：
Xavier De Scheemaekere
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
In the context of an incomplete market with a Brownian filtration and a fixed finite time horizon, this paper proves that for general dynamic convex risk measures, the buyer's and seller's risk indifference prices of a contingent claim are bounded from below and above by the dynamic lower and upper hedging prices, respectively.
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PDF链接：
https://arxiv.org/pdf/0909.3219
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