Chateauneuf, A.; Kast, R.; Lapied, A. - In: Mathematical Finance 6 (1996) 3, pp. 323-330
In markets where dealers play a central role, bid-ask spreads inhibit asset valuation as defined by the formation cost of a replicating portfolio. We introduce a nonlinear valuation formula similar to the usual expectation with respect to the risk-adjusted probability measure. This formula...