Conic asset pricing and the costs of price fluctuations

DOI10.1007/s10436-018-0328-1zbMath1410.91500OpenAlexW2602634523MaRDI QIDQ2422123

Dilip B. Madan, Wim Schoutens

Publication date: 18 June 2019

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/633285

zbMATH Keywords

variance gamma modelself decomposable lawprobability distortionmeasure distortion

Mathematics Subject Classification ID

Related Items (4)

Nonlinear equity valuation using conic finance and its regulatory implications ⋮ Implied liquidity risk premia in option markets ⋮ Measure distorted arrival rate risks and their rewards ⋮ Zero covariation returns

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• SELF-DECOMPOSABILITY AND OPTION PRICING
• Instantaneous portfolio theory
• The Variance Gamma Process and Option Pricing
• Common risk factors in the returns on stocks and bonds

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