Bid and ask prices as non-linear continuous time G-expectations based on distortions

DOI10.1007/S11579-014-0117-1zbMath1307.91086OpenAlexW3123750058MaRDI QIDQ468119

Martijn R. Pistorius, Ernst Eberlein, Dilip B. Madan, Marc Yor

Publication date: 6 November 2014

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-014-0117-1

zbMATH Keywords

discounted variance gammainhomogeneous loss processlaw invariant risk measuresmeasure distortions

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

Related Items (17)

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 ⋮ Robust valuation, arbitrage ambiguity and profit \& loss analysis ⋮ On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation ⋮ Lower and upper pricing of financial assets ⋮ Exposure valuations and their capital requirements ⋮ Conic asset pricing and the costs of price fluctuations ⋮ Bowley reinsurance with asymmetric information: a first-best solution ⋮ Option returns ⋮ The Black–Scholes equation in the presence of arbitrage ⋮ MEASURING AND MONITORING THE EFFICIENCY OF MARKETS ⋮ CONIC TRADING IN A MARKOVIAN STEADY STATE ⋮ Asset pricing theory for two price economies ⋮ Affine processes under parameter uncertainty

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