Benchmarking in two price financial markets

DOI10.1007/S10436-016-0278-4zbMATH Open1398.91279OpenAlexW2342767597MaRDI QIDQ315468FDOQ315468

Authors: Dilip B. Madan 

Publication date: 21 September 2016

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

Full work available at URL: https://doi.org/10.1007/s10436-016-0278-4

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zbMATH Keywords

nonlinear expectationsacceptable risksdistorted expectationnonadditive probability

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with continuous parameter (60G44) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

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Cited In (8)

• CONIC TRADING IN A MARKOVIAN STEADY STATE
• Affine processes under parameter uncertainty
• Nonlinear equity valuation using conic finance and its regulatory implications
• Lower and upper pricing of financial assets
• A Discrete Time Benchmark Approach for Insurance and Finance
• Pricing options on mean reverting underliers
• Financial equilibrium with non-linear valuations
• MEASURING AND MONITORING THE EFFICIENCY OF MARKETS

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