Abstract
A general class of fair valuations, which are model-consistent (mark-to-model), market-consistent (mark-to-market) and time-consistent, was introduced in Barigou et al. (2019) under a multi-period setting. In this paper, we generalize the convex hedging approach proposed in Dhaene et al. (2017) to a multi-period framework and investigate the realization of fair dynamic valuations via a convex hedge-based (CHB) approach. We show that the classes of fair dynamic valuations and CHB dynamic valuations are equivalent. Moreover, we show how to implement the CHB dynamic valuations through a backward iterations scheme with the application of some specific convex hedgers.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
