Two price economies in continuous time

DOI10.1007/S10436-013-0228-3zbMATH Open1298.91086OpenAlexW2057658085MaRDI QIDQ470719FDOQ470719

Authors: Ernst Eberlein, Dilip B. Madan, Martijn R. Pistorius, Wim Schoutens, Marc Yor 

Publication date: 13 November 2014

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

Full work available at URL: https://doi.org/10.1007/s10436-013-0228-3

Recommendations

• Asset pricing theory for two price economies
• Lower and upper bounds of martingale measure densities in continuous time markets
• Bid and ask prices as non-linear continuous time G-expectations based on distortions
• Benchmarking in two price financial markets
• TWO PROCESSES FOR TWO PRICES

zbMATH Keywords

nonlinear expectationsacceptable risksdistorted expectationChoquet capacityG-expectations

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Coherent measures of risk
• The Variance Gamma Process and Option Pricing
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• Markets as a counterparty: an introduction to conic finance
• THE RANGE OF TRADED OPTION PRICES
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• Theory of capacities
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• Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
• Unbounded liabilities, capital reserve requirements and the taxpayer put option
• CONIC FINANCE AND THE CORPORATE BALANCE SHEET
• Acceptability indexes via \(g\)-expectations: an application to liquidity risk
• Tenor specific pricing
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• Structured products equilibria in conic two price markets
• Title not available (Why is that?)
• Infinitesimal generators of nonhomogeneous convolution semigroups on Lie groups
• Conic coconuts: the pricing of contingent capital notes using conic finance
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• Capital requirements, acceptable risks and profits
• A two price theory of financial equilibrium with risk management implications
• Continuously monitored barrier options under Markov processes
• The valuation of structured products using Markov chain models

Cited In (18)

• CONIC TRADING IN A MARKOVIAN STEADY STATE
• On Hoeffding and Bernstein type inequalities for sums of random variables in non-additive measure spaces and complete convergence
• Weakly time consistent concave valuations and their dual representations
• Option overlay strategies
• Conic portfolio theory
• Measuring and monitoring the efficiency of markets
• Benchmarking in two price financial markets
• Dynamic conic hedging for competitiveness
• Robust valuation, arbitrage ambiguity and profit \& loss analysis
• Bid and ask prices as non-linear continuous time G-expectations based on distortions
• The Power of Two Prices: Beyond Cross-Monotonicity
• Option returns
• Lower and upper pricing of financial assets
• AN ECONOMIC PREMIUM PRINCIPLE IN A CONTINUOUS-TIME ECONOMY(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• Financial finance
• Asset pricing theory for two price economies
• Financial equilibrium with non-linear valuations
• TWO PROCESSES FOR TWO PRICES

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