Bid and ask prices as non-linear continuous time G-expectations based on distortions
From MaRDI portal
Publication:468119
DOI10.1007/s11579-014-0117-1zbMath1307.91086MaRDI QIDQ468119
Marc Yor, Martijn R. Pistorius, Dilip B. Madan, Ernst Eberlein
Publication date: 6 November 2014
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-014-0117-1
discounted variance gamma; inhomogeneous loss process; law invariant risk measures; measure distortions
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G44: Martingales with continuous parameter
91G80: Financial applications of other theories
Related Items
MEASURING AND MONITORING THE EFFICIENCY OF MARKETS, Benchmarking in two price financial markets, Dynamic conic hedging for competitiveness, Financial equilibrium with non-linear valuations, Robust valuation, arbitrage ambiguity and profit \& loss analysis, Asset pricing theory for two price economies, On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation, CONIC TRADING IN A MARKOVIAN STEADY STATE
Cites Work
- Unnamed Item
- A two price theory of financial equilibrium with risk management implications
- Two price economies in continuous time
- A general theory of finite state backward stochastic difference equations
- Axiomatic characterization of insurance prices
- Conic coconuts: the pricing of contingent capital notes using conic finance
- Structured products equilibria in conic two price markets
- Coherent Measures of Risk
- ON VALUING STOCHASTIC PERPETUITIES USING NEW LONG HORIZON STOCK PRICE MODELS DISTINGUISHING BOOMS, BUSTS, AND BALANCED MARKETS
- Unbounded liabilities, capital reserve requirements and the taxpayer put option
- DYNAMIC COHERENT ACCEPTABILITY INDICES AND THEIR APPLICATIONS TO FINANCE
- MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
- CONIC FINANCE AND THE CORPORATE BALANCE SHEET
- TENOR SPECIFIC PRICING
- The Variance Gamma Process and Option Pricing
