Abstract
We suggest a new valuation method of contingent claims for complete markets. Since our new valuation is closely related to shortfall risk, our suggestion would be useful to study shortfall risk measures which are convex risk measures induced by shortfall risk. We firstly give a brief introduction of shortfall risk measures, and discuss a general form of the valuation. We shall then deal with diffusion type models which are complete market models with underlying assets described by diffusion processes. In particular, the valuation for American type claims is discussed.
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Received: May 31, 2010
Revised: July 9, 2010
JEL classification: G10
Mathematics Subject Classification (2010): 91G99, 46N10, 91B30
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Arai, T., Suzuki, T. (2011). How much can investors discount?. In: Kusuoka, S., Maruyama, T. (eds) Advances in Mathematical Economics. Advances in Mathematical Economics, vol 14. Springer, Tokyo. https://doi.org/10.1007/978-4-431-53883-7_1
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DOI: https://doi.org/10.1007/978-4-431-53883-7_1
Publisher Name: Springer, Tokyo
Print ISBN: 978-4-431-53882-0
Online ISBN: 978-4-431-53883-7
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