CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
From MaRDI portal
Publication:4226867
Recommendations
Cites work
- Characterizing optimism amd pessimism directly through comonotonicity
- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
- Convex games and extreme points
- Integral Representation Without Additivity
- Intertemporal Asset Pricing under Knightian Uncertainty
- Martingales and arbitage in securities markets with transaction costs
- Non-additive measure and integral
- Subjective Probability and Expected Utility without Additivity
- The Dual Theory of Choice under Risk
- Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
Cited in
(49)- Cost-efficient contingent claims with market frictions
- Insurance premia consistent with the market.
- Price as a choice under nonstochastic randomness in finance
- Asset pricing in an imperfect world
- Put-call parity and generalized neo-additive pricing rules
- Pricing rules and Arrow-Debreu ambiguous valuation
- Stochastic measures of arbitrage.
- Put-call parity and market frictions
- On distribution-free safe layer-additive pricing
- Option implied ambiguity and its information content: evidence from the subprime crisis
- Submodular financial markets with frictions
- Choquet pricing and equilibrium.
- Updating pricing rules
- Axiomatic characterization of insurance prices
- Choquet-based European option pricing with stochastic (and fixed) strikes
- The risk-neutral non-additive probability with market frictions
- Modeling attitudes towards uncertainty and risk through the use of Choquet integral
- A Neyman-Pearson problem with ambiguity and nonlinear pricing
- Risk capital allocation and cooperative pricing of insurance liabilities.
- Dynamic capital allocation with distortion risk measures
- Families of update rules for non-additive measures: applications in pricing risks.
- Similar risks have similar prices: a useful and exact quantification
- Dynamic bid-ask pricing under Dempster-Shafer uncertainty
- Extensions and distortions of \(\lambda\)-fuzzy measures
- PRICING SECURITIES WITH EXCHANGE-IMPOSED PRICE LIMITS VIA RISK NEUTRAL VALUATION
- Subjective risk measures: Bayesian predictive scenarios analysis
- Nonmonotonic Choquet integrals
- Put-call parities, absence of arbitrage opportunities, and nonlinear pricing rules
- A note on the connection between the Esscher-Girsanov transform and the Wang transform
- CHOQUET INSURANCE PRICING: A CAVEAT
- Semimartingale price systems in models with transaction costs beyond efficient friction
- Representation of maxitive measures: An overview
- Decomposition-integral: unifying Choquet and the concave integrals
- Comonotonic book making and attitudes to uncertainty.
- Nonconvex optimization for pricing and hedging in imperfect markets
- Risk redistribution games with dual utilities
- Preferences representable by a lower expectation: Some characterizations
- Financial market structures revealed by pricing rules: efficient complete markets are prevalent
- Competitive equilibria with distortion risk measures
- An optimization approach to the dynamic allocation of economic capital
- Envelopes of equivalent martingale measures and a generalized no-arbitrage principle in a finite setting
- Implied trees in illiquid markets: A Choquet pricing approach
- Dynamic coherent risk measures
- On Stop-Loss Order and the Distortion Pricing Principle
- Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
- Conditional comonotonicity
- A REPRESENTATION OF KEYNES’S LONG-TERM EXPECTATION IN FINANCIAL MARKETS
- Computation of distorted probabilities for diffusion processes via stochastic control methods.
- Properties of bid and ask reservation prices in the rank-dependent expected utility model
This page was built for publication: CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4226867)
