• Corpus ID: 237304357

Valuation of contingent claims with short selling bans under an equal-risk pricing framework

@inproceedings{Ma2019ValuationOC,
  title={Valuation of contingent claims with short selling bans under an equal-risk pricing framework},
  author={Guiyuan Ma and Song‐Ping Zhu and Ivan Guo},
  year={2019}
}
This paper studies the valuation of European contingent claims with short selling bans under the equal risk pricing (ERP) framework proposed in Guo and Zhu (2017) where analytical pricing formulae were derived in the case of monotonic payoffs under risk-neutral measures. We establish a unified framework for this new pricing approach so that its range of application can be significantly expanded. The results of Guo and Zhu (2017) are extended to the case of non-monotonic payoffs (such as a… 
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