Two price economies in continuous time

DOI10.1007/S10436-013-0228-3MaRDI QIDQ470719zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

nonlinear expectationsacceptable risksdistorted expectationChoquet capacityG-expectations

Mathematics Subject Classification ID

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

Recommendations

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Cites work

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• Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
• CONIC FINANCE AND THE CORPORATE BALANCE SHEET
• Capital requirements, acceptable risks and profits
• Coherent measures of risk
• Conic coconuts: the pricing of contingent capital notes using conic finance
• Continuously monitored barrier options under Markov processes
• Infinitesimal generators of nonhomogeneous convolution semigroups on Lie groups
• Markets as a counterparty: an introduction to conic finance
• Representation results for law invariant time consistent functions
• Risk measures via \(g\)-expectations
• Structured products equilibria in conic two price markets
• THE RANGE OF TRADED OPTION PRICES
• Tenor specific pricing
• The Variance Gamma Process and Option Pricing
• The valuation of structured products using Markov chain models
• Theory of capacities
• Unbounded liabilities, capital reserve requirements and the taxpayer put option
• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES

Cited in

(18)

• CONIC TRADING IN A MARKOVIAN STEADY STATE
• Weakly time consistent concave valuations and their dual representations
• On Hoeffding and Bernstein type inequalities for sums of random variables in non-additive measure spaces and complete convergence
• Option overlay strategies
• Conic portfolio theory
• Benchmarking in two price financial markets
• Dynamic conic hedging for competitiveness
• Measuring and monitoring the efficiency of markets
• 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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