Fully Dynamic Pricing: Risk Indifference and No Good Deal

We propose a dynamic pricing evaluation derived from  a fully-dynamic risk-measure on $L_p$-spaces, $p \in [1,\infty]$. The concept of fully-dynamic risk-measures offers the possibility of changing the risk perspectives over... [ view full abstract ]

We propose a dynamic pricing evaluation derived from  a fully-dynamic risk-measure on $L_p$-spaces, $p \in [1,\infty]$. The concept of fully-dynamic risk-measures offers the possibility of changing the risk perspectives over time. It fits well the study of both short and long term investments.
Dynamic risk-indifference pricing is an alternative to utility-indifference pricing. We analyse whether the risk-indifference price  provides a proper convex price-system satisfying time-consistency. This entails the use  of capacities and the extension of the whole price-system to the Banach spaces derived by the capacity seminorms. Furthermore we study the relationship of the dynamic risk-indifference price with no-good-deal bounds.