A Neyman-Pearson problem with ambiguity and nonlinear pricing

DOI10.1007/S11579-017-0207-YMaRDI QIDQ1648898zbMATH OpenOpenAlexFDO

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

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

(2)

• Cost-efficient payoffs under model ambiguity
• Cost-efficient contingent claims with market frictions

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