Asset pricing theory for two price economies
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Publication:2018556
DOI10.1007/s10436-014-0255-8zbMath1311.91107OpenAlexW1998057132MaRDI QIDQ2018556
Publication date: 24 March 2015
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-014-0255-8
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Related Items (22)
Nonlinear equity valuation using conic finance and its regulatory implications ⋮ Benchmarking in two price financial markets ⋮ Dynamic conic hedging for competitiveness ⋮ Financial equilibrium with non-linear valuations ⋮ Instantaneous portfolio theory ⋮ Pricing options on mean reverting underliers ⋮ Adapted hedging ⋮ Lower and upper pricing of financial assets ⋮ Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index ⋮ Conic asset pricing and the costs of price fluctuations ⋮ MEASURING AND MONITORING THE EFFICIENCY OF MARKETS ⋮ Implied liquidity risk premia in option markets ⋮ Optimal investment and contingent claim valuation in illiquid markets ⋮ Nonlinear expectations of random sets ⋮ Option overlay strategies ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ Two price economic equilibria and financial market bid/ask prices ⋮ Hedging insurance books ⋮ Measure distorted arrival rate risks and their rewards ⋮ Zero covariation returns ⋮ High dimensional Markovian trading of a single stock ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market
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