Finance Without Probabilistic Prior Assumptions
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References listed on IDEAS
- Epstein, Larry G. & Ji, Shaolin, 2014.
"Ambiguous volatility, possibility and utility in continuous time,"
Journal of Mathematical Economics,
Elsevier, vol. 50(C), pages 269-282.
- Larry Epstein & Shaolin Ji, 2011. "Ambiguous Volatility, Possibility and Utility in Continuous Time," Papers 1103.1652, arXiv.org, revised Jan 2013.
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
- Bick, Avi & Willinger, Walter, 1994. "Dynamic spanning without probabilities," Stochastic Processes and their Applications, Elsevier, vol. 50(2), pages 349-374, April.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Gianluca Cassese, 2014. "Option Pricing in an Imperfect World," Papers 1406.0412, arXiv.org, revised Sep 2016.
- Romain Blanchard & Laurence Carassus, 2017. "Convergence of utility indifference prices to the superreplication price in a multiple-priors framework," Papers 1709.09465, arXiv.org.
- Bruno Bouchard & Marcel Nutz, 2014. "Consistent Price Systems under Model Uncertainty," Papers 1408.5510, arXiv.org.
- Marcel Nutz, 2014. "Superreplication under model uncertainty in discrete time," Finance and Stochastics, Springer, vol. 18(4), pages 791-803, October.
- Marcel Nutz, 2013. "Superreplication under Model Uncertainty in Discrete Time," Papers 1301.3227, arXiv.org, revised Feb 2014.
More about this item
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-13 (All new papers)
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