Benchmarking in two price financial markets

DOI10.1007/S10436-016-0278-4zbMATHOpenAlexMaRDI QIDQ315468FDO

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

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)

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Cited in

(10)

• Lower and upper pricing of financial assets
• Measuring and monitoring the efficiency of markets
• Asset pricing theory for two price economies
• CONIC TRADING IN A MARKOVIAN STEADY STATE
• Pricing options on mean reverting underliers
• Two price economies in continuous time
• Financial equilibrium with non-linear valuations
• Affine processes under parameter uncertainty
• Nonlinear equity valuation using conic finance and its regulatory implications
• A Discrete Time Benchmark Approach for Insurance and Finance

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