Minimax pricing and Choquet pricing (Q2499830)

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Minimax pricing and Choquet pricing
scientific article

    Statements

    title
    Minimax pricing and Choquet pricing (English)
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    author
    Zeng-Jing Chen
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    Reg J. Kulperger
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    publication date
    14 August 2006
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    zbMATH Keywords
    Choquet-expectation
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    capacity
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    backward stochastic differential equation (BSDE)
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    minimax expectation
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    Identifiers

    Mathematics Subject Classification ID
    60H30
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    28A12
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    91B30
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    60H10
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    zbMATH DE Number
    5046112
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