Valuing future cash flows with non separable discount factors and non additive subjective measures: conditional Choquet capacities on time and on uncertainty

DOI10.1007/s11238-008-9107-1zbMath1232.91133OpenAlexW2048499611MaRDI QIDQ989916

Robert Kast, André Lapied

Publication date: 23 August 2010

Published in: Theory and Decision (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11238-008-9107-1

zbMATH Keywords

informationcomonotonicityproduct spacescapacitiesdiscount factorsconditional capacitiesconditional Choquet integralssubjective measures

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16) Financial applications of other theories (91G80)

Related Items (6)

Option implied ambiguity and its information content: evidence from the subprime crisis ⋮ Individual antecedents of real options appraisal: the role of national culture and ambiguity ⋮ Asymmetric Choquet random walks and ambiguity aversion or seeking ⋮ A vague multidimensional dependency structure: conditional versus unconditional fuzzy copula models ⋮ Valuing future cash flows with non separable discount factors and non additive subjective measures: conditional Choquet capacities on time and on uncertainty ⋮ Choquet-based European option pricing with stochastic (and fixed) strikes

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