The risk-neutral non-additive probability with market frictions

DOI10.1007/s40505-022-00216-4zbMath1497.91316OpenAlexW4220972403MaRDI QIDQ2157279

Alain Chateauneuf, Bernard Cornet

Publication date: 27 July 2022

Published in: Economic Theory Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40505-022-00216-4

zbMATH Keywords

put-call paritymarket frictionsabsence of arbitrage opportunitiesChoquet pricingrisk-neutral nonadditive probability

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial markets (91G15)

Related Items (2)

Submodular financial markets with frictions ⋮ Dynamic bid-ask pricing under Dempster-Shafer uncertainty

Cites Work

• Unnamed Item
• Put-call parity and market frictions
• Non-additive measure and integral
• Submodular financial markets with frictions
• Choquet representability of submodular functions
• Cores of convex games
• Choquet integration on Riesz spaces and dual comonotonicity
• Integral Representation Without Additivity
• CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS

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