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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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Finance Discipline Group, Business School
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Université Paris-Dauphine (Paris IX)
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Coherent price systems and uncertainty-neutral valuation
Beißner, Patrick
-
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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