Coherent price systems and uncertainty-neutral valuation

Beißner P (2013) Working Papers. Center for Mathematical Economics; 464.
Bielefeld: Center for Mathematical Economics.

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Working Paper | Published | English
Abstract
We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility uncertainty. The resulting ambiguity motivates a new principle of preference-free valuation. By establishing a microeconomic foundation of sublinear price systems, the principle of ambiguity-neutral valuation imposes the novel concept of equivalent symmetric martingale measures. Such measures exist when the asset price with uncertain volatility is driven by Peng's G-Brownian motion.
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Beißner P. Coherent price systems and uncertainty-neutral valuation. Working Papers. Center for Mathematical Economics. Vol 464. Bielefeld: Center for Mathematical Economics; 2013.
Beißner, P. (2013). Coherent price systems and uncertainty-neutral valuation (Working Papers. Center for Mathematical Economics, 464). Bielefeld: Center for Mathematical Economics.
Beißner, P. (2013). Coherent price systems and uncertainty-neutral valuation. Working Papers. Center for Mathematical Economics, 464, Bielefeld: Center for Mathematical Economics.
Beißner, P., 2013. Coherent price systems and uncertainty-neutral valuation, Working Papers. Center for Mathematical Economics, no.464, Bielefeld: Center for Mathematical Economics.
P. Beißner, Coherent price systems and uncertainty-neutral valuation, Working Papers. Center for Mathematical Economics, vol. 464, Bielefeld: Center for Mathematical Economics, 2013.
Beißner, P.: Coherent price systems and uncertainty-neutral valuation. Working Papers. Center for Mathematical Economics, 464. Center for Mathematical Economics, Bielefeld (2013).
Beißner, Patrick. Coherent price systems and uncertainty-neutral valuation. Bielefeld: Center for Mathematical Economics, 2013. Working Papers. Center for Mathematical Economics. 464.
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