Beißner, Patrick: Coherent price systems and uncertainty-neutral valuation. In: . Jg.464. 2013, S. 41 ff.
Inhalt
- Introduction
- Viability and Sublinear Price Systems
- The Uncertainty Model and the Space of Claims
- Scenario-Based Viable Price Systems
- Preferences and the Economy
- Asset Markets and Symmetric Martingales
- Volatility Uncertainty, Dynamics and Arbitrage
- Dynamics and Martingales under Sublinear Expectation
- The Primitives of the Financial Market and Arbitrage
- Equivalent Symmetric Martingale Measure Sets
- A Special Case: G-Expectation
- Discussion and Conclusion
- Details and Proofs
- Required results