A Neyman-Pearson problem with ambiguity and nonlinear pricing

DOI10.1007/S11579-017-0207-YzbMATH Open1397.91553OpenAlexW2771098623MaRDI QIDQ1648898FDOQ1648898

Authors: Mario Ghossoub 

Publication date: 5 July 2018

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-017-0207-y

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zbMATH Keywords

contingent claimscapacityambiguitybid-ask spreadChoquet integralcost-efficiencyKnightian uncertaintynon-additive probabilitynonlinear pricingpayoff distributional pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Contents, measures, outer measures, capacities (28A12)

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Cited In (1)

• Cost-efficient contingent claims with market frictions

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