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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| Veröffentlicht | Englisch
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Abstract / Bemerkung
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.
Erscheinungsjahr
2013
Serientitel
Working Papers. Center for Mathematical Economics
Band
464
Seite(n)
41
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2671731
Zitieren
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, Patrick. 2013. Coherent price systems and uncertainty-neutral valuation. Vol. 464. Working Papers. Center for Mathematical Economics. 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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2019-09-06T09:18:22Z
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