Bid and ask prices as non-linear continuous time G-expectations based on distortions (Q468119)
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scientific article; zbMATH DE number 6366181
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| English | Bid and ask prices as non-linear continuous time G-expectations based on distortions |
scientific article; zbMATH DE number 6366181 |
Statements
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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0.8168655037879944
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0.7769514322280884
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0.7550169825553894
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0.7442396283149719
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0.7422499656677246
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