Bid and ask prices as non-linear continuous time G-expectations based on distortions

DOI10.1007/s11579-014-0117-1zbMath1307.91086MaRDI QIDQ468119

Martijn R. Pistorius, Ernst Eberlein, Dilip B. Madan, Marc Yor

Publication date: 6 November 2014

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-014-0117-1

zbMATH Keywords

discounted variance gamma; inhomogeneous loss process; law invariant risk measures; measure distortions

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G44: Martingales with continuous parameter

91G80: Financial applications of other theories

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