Bid and ask prices as non-linear continuous time G-expectations based on distortions (Q468119): Difference between revisions
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Property / author: Martijn R. Pistorius / rank | |||
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Property / author: Marc Yor / rank | |||
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Property / Mathematics Subject Classification ID: 91B25 / rank | |||
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Property / Mathematics Subject Classification ID: 60G44 / rank | |||
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Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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Property / Mathematics Subject Classification ID: 91G80 / rank | |||
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Property / zbMATH DE Number: 6366181 / rank | |||
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discounted variance gamma | |||
Property / zbMATH Keywords: discounted variance gamma / rank | |||
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measure distortions | |||
Property / zbMATH Keywords: measure distortions / rank | |||
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inhomogeneous loss process | |||
Property / zbMATH Keywords: inhomogeneous loss process / rank | |||
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law invariant risk measures | |||
Property / zbMATH Keywords: law invariant risk measures / rank | |||
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Revision as of 16:54, 30 June 2023
scientific article
Language | Label | Description | Also known as |
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English | Bid and ask prices as non-linear continuous time G-expectations based on distortions |
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Bid and ask prices as non-linear continuous time G-expectations based on distortions (English)
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6 November 2014
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discounted variance gamma
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measure distortions
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inhomogeneous loss process
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law invariant risk measures
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