Multiple priors and asset pricing

DOI10.1007/S11009-007-9051-5zbMATH Open1162.91381OpenAlexW2027870053MaRDI QIDQ1023977FDOQ1023977

Authors: Dilip B. Madan, Robert J. Elliott 

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

Recommendations

• Filtering Returns for Unspecified Biases in Priors when Testing Asset Pricing Theory
• Asset prices in an ambiguous economy
• Asset pricing with flexible beliefs
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Asset pricing with incomplete information and fat tails

Mathematics Subject Classification ID

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

Cites Work

• Coherent measures of risk
• Maxmin expected utility with non-unique prior
• Martingales and arbitrage in multiperiod securities markets
• Title not available (Why is that?)
• The Variance Gamma Process and Option Pricing
• Martingales and stochastic integrals in the theory of continuous trading
• Option Pricing With V. G. Martingale Components¹
• Intertemporal Asset Pricing under Knightian Uncertainty
• Option pricing using variance gamma Markov chains
• Uncertainty, risk-neutral measures and security price booms and crashes
• Hedging contingent claims on semimartingales

Cited In (2)

• Likelihood Evidence on the Asset Returns Puzzle
• Filtering Returns for Unspecified Biases in Priors when Testing Asset Pricing Theory

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