A risk-neutral equilibrium leading to uncertain volatility pricing
DOI10.1007/s00780-018-0356-8zbMath1422.91716arXiv1612.09152OpenAlexW2563263223WikidataQ130158577 ScholiaQ130158577MaRDI QIDQ1709602
Marcel Nutz, Johannes Muhle-Karbe
Publication date: 6 April 2018
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.09152
equilibriumheterogeneous beliefsuncertain volatility modelnonlinear expectationderivative price bubble
Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items (6)
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