Multiple priors and asset pricing

DOI10.1007/S11009-007-9051-5zbMath1162.91381OpenAlexW2027870053MaRDI QIDQ1023977

Robert J. Elliott, Dilip B. Madan

Publication date: 16 June 2009

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-007-9051-5

Mathematics Subject Classification ID

Bayesian inference (62F15) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

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• Maxmin expected utility with non-unique prior
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Hedging contingent claims on semimartingales
• Option pricing using variance gamma Markov chains
• Uncertainty, risk-neutral measures and security price booms and crashes
• Coherent Measures of Risk
• Intertemporal Asset Pricing under Knightian Uncertainty
• Option Pricing With V. G. Martingale Components¹
• The Variance Gamma Process and Option Pricing

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