Coherent price systems and uncertainty-neutral valuation
Year of publication: |
2012
|
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Authors: | Beißner, Patrick |
Publisher: |
Bielefeld : Bielefeld University, Institute of Mathematical Economics (IMW) |
Subject: | Arbitrage Pricing | Volatilität | Risiko | Erwartungstheorie | Martingale | Theorie | mutually singular priors | uncertain volatility | sublinear expectation | viability of sublinear price systems | arbitrage | equivalent symmetric martingale measures set (EsMM set) | symmetric martingales | Girsanov for G-Brownian motion |
Series: | Working Papers ; 464 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 689158521 [GVK] hdl:10419/81124 [Handle] |
Classification: | G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies ; D46 - Value Theory ; D52 - Incomplete Markets ; C62 - Existence and Stability Conditions of Equilibrium |
Source: |
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Coherent price systems and uncertainty-neutral valuation : conference paper
Beißner, Patrick, (2013)
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Coherent price systems and uncertainty-neutral valuation
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Coherent price systems and uncertainty-neutral valuation
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Coherent price systems and uncertainty-neutral valuation : conference paper
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Radner equilibria under ambiguous volatility
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