Bid and ask prices as non-linear continuous time G-expectations based on distortions
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Publication:468119
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
Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)
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