TY  - GEN
AB  - 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.
DA  - 2013
LA  - eng
PY  - 2013
SN  - 0931-6558
SP  - 41-
TI  - Coherent price systems and uncertainty-neutral valuation
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-26717313
Y2  - 2024-11-25T05:12:01
ER  -