Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty
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References listed on IDEAS
- Wei Chen, 2011. "Time Consistent Bid-Ask Dynamic Pricing Mechanisms for Contingent Claims and Its Numerical Simulations Under Uncertainty," Papers 1111.4298, arXiv.org, revised Sep 2013.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Wei Chen, 2013. "G-Doob-Meyer Decomposition and its Application in Bid-Ask Pricing for American Contingent Claim Under Knightian Uncertainty," Papers 1401.0677, arXiv.org.
- Wei Chen, 2013. "G-consistent price system and bid-ask pricing for European contingent claims under Knightian uncertainty," Papers 1308.6256, arXiv.org, revised Sep 2013.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-24 (All new papers)
- NEP-ETS-2013-06-24 (Econometric Time Series)
- NEP-MST-2013-06-24 (Market Microstructure)
- NEP-ORE-2013-06-24 (Operations Research)
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