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superhedging price : ウィキペディア英語版
superhedging price
The superhedging price is a coherent risk measure. The superhedging price of a portfolio (A) is equivalent to the smallest amount necessary to be paid for an admissible portfolio (B) at the current time so that at some specified future time the value of B is at least as great as A. In a complete market the superhedging price is equivalent to the price for hedging the initial portfolio.
==Mathematical definition==
If the set of equivalent martingale measures is denoted by EMM then the superhedging price of a portfolio ''X'' is \rho(-X) where \rho is defined by
: \rho(X) = \sup_^Q().
\rho defined as above is a coherent risk measure.

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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