Two price economies in continuous time

DOI10.1007/s10436-013-0228-3zbMath1298.91086OpenAlexW2057658085MaRDI QIDQ470719

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

Publication date: 13 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-013-0228-3

zbMATH Keywords

nonlinear expectationsacceptable risksdistorted expectationChoquet capacityG-expectations

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (14)

Benchmarking in two price financial markets ⋮ Dynamic conic hedging for competitiveness ⋮ Financial equilibrium with non-linear valuations ⋮ Robust valuation, arbitrage ambiguity and profit \& loss analysis ⋮ Lower and upper pricing of financial assets ⋮ Option returns ⋮ MEASURING AND MONITORING THE EFFICIENCY OF MARKETS ⋮ CONIC TRADING IN A MARKOVIAN STEADY STATE ⋮ Bid and ask prices as non-linear continuous time G-expectations based on distortions ⋮ On Hoeffding and Bernstein type inequalities for sums of random variables in non-additive measure spaces and complete convergence ⋮ Asset pricing theory for two price economies ⋮ Option overlay strategies ⋮ CONIC PORTFOLIO THEORY ⋮ Weakly time consistent concave valuations and their dual representations

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