CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
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Publication:4226867
DOI10.1111/J.1467-9965.1996.TB00119.XzbMATH Open0915.90011OpenAlexW2103984188MaRDI QIDQ4226867FDOQ4226867
Authors: Alain Chateauneuf, André Lapied, Robert Kast 
Publication date: 23 February 1999
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1996.tb00119.x
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Cites Work
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Cited In (49)
- Put-call parities, absence of arbitrage opportunities, and nonlinear pricing rules
- Cost-efficient contingent claims with market frictions
- Price as a choice under nonstochastic randomness in finance
- Insurance premia consistent with the market.
- 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
- PRICING SECURITIES WITH EXCHANGE-IMPOSED PRICE LIMITS VIA RISK NEUTRAL VALUATION
- Extensions and distortions of \(\lambda\)-fuzzy measures
- Subjective risk measures: Bayesian predictive scenarios analysis
- Nonmonotonic Choquet integrals
- CHOQUET INSURANCE PRICING: A CAVEAT
- Representation of maxitive measures: An overview
- Semimartingale price systems in models with transaction costs beyond efficient friction
- A note on the connection between the Esscher-Girsanov transform and the Wang transform
- Decomposition-integral: unifying Choquet and the concave integrals
- Risk redistribution games with dual utilities
- Nonconvex optimization for pricing and hedging in imperfect markets
- Comonotonic book making and attitudes to uncertainty.
- Competitive equilibria with distortion risk measures
- Preferences representable by a lower expectation: Some characterizations
- Financial market structures revealed by pricing rules: efficient complete markets are prevalent
- Envelopes of equivalent martingale measures and a generalized no-arbitrage principle in a finite setting
- An optimization approach to the dynamic allocation of economic capital
- Implied trees in illiquid markets: A Choquet pricing approach
- On Stop-Loss Order and the Distortion Pricing Principle
- Dynamic coherent risk measures
- Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
- A REPRESENTATION OF KEYNES’S LONG-TERM EXPECTATION IN FINANCIAL MARKETS
- Conditional comonotonicity
- 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
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