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~institution:"Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld"
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Girsanov for G-Brownian motion
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arbitrage
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equivalent symmetric martingale measures set (EsMM set)
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mutually singular priors
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sublinear expectation
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symmetric martingales
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uncertain volatility
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viability of sublinear price systems
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Beißner, Patrick
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Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
University of Bonn, Germany
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Graduate School of Economics, Hitotsubashi University
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IBMEC Business School - Rio de Janeiro
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Institute of Economic Research, Hitotsubashi University
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Institutt for Økonomi, Universitetet i Bergen
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London School of Economics (LSE)
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Nationalekonomiska Institutionen, Ekonomihögskolan
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School of Economics and Management, University of Aarhus
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Coherent price systems and uncertainty-neutral valuation
Beißner, Patrick
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Institut für Mathematische Wirtschaftsforschung, …
-
2013
symmetric
martingale
measures
. Such measures exist when the asset price with uncertain volatility is driven by Peng's G …
Persistent link: https://www.econbiz.de/10010719991
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