A risk-neutral equilibrium leading to uncertain volatility pricing

DOI10.1007/S00780-018-0356-8zbMath1422.91716arXiv1612.09152OpenAlexW2563263223WikidataQ130158577 ScholiaQ130158577MaRDI QIDQ1709602

Marcel Nutz, Johannes Muhle-Karbe

Publication date: 6 April 2018

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.09152

zbMATH Keywords

equilibriumheterogeneous beliefsuncertain volatility modelnonlinear expectationderivative price bubble

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (7)

Conditions for bubbles to arise under heterogeneous beliefs ⋮ A generalized stochastic process: fractional \(G\)-Brownian motion ⋮ Linear quadratic mean-field game with volatility uncertainty ⋮ Affine models with path-dependence under parameter uncertainty and their application in finance ⋮ Affine processes under parameter uncertainty ⋮ Uncertain Volatility Models with Stochastic Bounds ⋮ Social Optima in Mean Field Linear-Quadratic-Gaussian Control with Volatility Uncertainty

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