A Neyman-Pearson problem with ambiguity and nonlinear pricing
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Publication:1648898
DOI10.1007/s11579-017-0207-yzbMath1397.91553OpenAlexW2771098623MaRDI QIDQ1648898
Publication date: 5 July 2018
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-017-0207-y
capacityChoquet integralambiguitycontingent claimsnonlinear pricingbid-ask spreadcost-efficiencyKnightian uncertaintynon-additive probabilitypayoff distributional pricing
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