Structured products equilibria in conic two price markets

DOI10.1007/s11579-012-0064-7zbMath1264.91148OpenAlexW3124510696MaRDI QIDQ1938974

Wim Schoutens, Dilip B. Madan

Publication date: 26 February 2013

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

Full work available at URL: https://doi.org/10.1007/s11579-012-0064-7

zbMATH Keywords

acceptable risksbid and ask pricesconcave distortions

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Auctions, bargaining, bidding and selling, and other market models (91B26) Special types of economic markets (including Cournot, Bertrand) (91B54)

Related Items (14)

What attitudes to risk underlie distortion risk measure choices? ⋮ Robust valuation, arbitrage ambiguity and profit \& loss analysis ⋮ A Simple Stochastic Rate Model for Rate Equity Hybrid Products ⋮ Systemic risk tradeoffs and option prices ⋮ Bid and ask prices as non-linear continuous time G-expectations based on distortions ⋮ A two price theory of financial equilibrium with risk management implications ⋮ Two price economies in continuous time ⋮ TWO PROCESSES FOR TWO PRICES ⋮ DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES ⋮ Option overlay strategies ⋮ CONIC PORTFOLIO THEORY ⋮ Quantile-Based Risk Sharing ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market ⋮ From credit valuation adjustments to credit capital commitments

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