A Neyman-Pearson problem with ambiguity and nonlinear pricing (Q1648898)
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scientific article; zbMATH DE number 6898615
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | A Neyman-Pearson problem with ambiguity and nonlinear pricing |
scientific article; zbMATH DE number 6898615 |
Statements
A Neyman-Pearson problem with ambiguity and nonlinear pricing (English)
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5 July 2018
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payoff distributional pricing
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cost-efficiency
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contingent claims
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nonlinear pricing
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bid-ask spread
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ambiguity
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Knightian uncertainty
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non-additive probability
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capacity
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Choquet integral
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0.79819256067276
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0.7530681490898132
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0.7501561045646667
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0.7417226433753967
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0.7405511140823364
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