Bibliografías temáticas / Choquet pricing

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Literatura académica sobre el tema "Choquet pricing"

Autor: Grafiati
Publicado: 7 de diciembre de 2024
Última modificación: 31 de julio de 2025

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Artículos de revistas sobre el tema "Choquet pricing"

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Chen, Zengjing, and Reg Kulperger. "Minimax pricing and Choquet pricing." Insurance: Mathematics and Economics 38, no. 3 (2006): 518–28. http://dx.doi.org/10.1016/j.insmatheco.2005.11.010.

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De Waegenaere, Anja, Robert Kast, and Andre Lapied. "Choquet pricing and equilibrium." Insurance: Mathematics and Economics 32, no. 3 (2003): 359–70. http://dx.doi.org/10.1016/s0167-6687(03)00116-1.

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Castagnoli, Erio, Fabio Maccheroni, and Massimo Marinacci. "CHOQUET INSURANCE PRICING: A CAVEAT." Mathematical Finance 14, no. 3 (2004): 481–85. http://dx.doi.org/10.1111/j.0960-1627.2004.00201.x.

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Chateauneuf, A., R. Kast, and A. Lapied. "CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS." Mathematical Finance 6, no. 3 (1996): 323–30. http://dx.doi.org/10.1111/j.1467-9965.1996.tb00119.x.

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Jang, Lee-Chae. "Interval-valued Choquet integrals and applications in pricing risks." Journal of Korean Institute of Intelligent Systems 17, no. 4 (2007): 451–54. http://dx.doi.org/10.5391/jkiis.2007.17.4.451.

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Muzzioli, Silvia, and Costanza Torricelli. "Implied trees in illiquid markets: A Choquet pricing approach." International Journal of Intelligent Systems 17, no. 6 (2002): 577–94. http://dx.doi.org/10.1002/int.10039.

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Driouchi, Tarik, Lenos Trigeorgis, and Yongling Gao. "Choquet-based European option pricing with stochastic (and fixed) strikes." OR Spectrum 37, no. 3 (2014): 787–802. http://dx.doi.org/10.1007/s00291-014-0378-3.

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Wójcik, Sebastian. "Quasi-Arithmetic Type Mean Generated by the Generalized Choquet Integral." Symmetry 12, no. 12 (2020): 2104. http://dx.doi.org/10.3390/sym12122104.

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It is known that the quasi-arithmetic means can be characterized in various ways, with an essential role of a symmetry property. In the expected utility theory, the quasi-arithmetic mean is called the certainty equivalent and it is applied, e.g., in a utility-based insurance contracts pricing. In this paper, we introduce and study the quasi-arithmetic type mean in a more general setting, namely with the expected value being replaced by the generalized Choquet integral. We show that a functional that is defined in this way is a mean. Furthermore, we characterize the equality, positive homogenei
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Bastianello, Lorenzo, Alain Chateauneuf, and Bernard Cornet. "Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules." Mathematical Finance, March 23, 2024. http://dx.doi.org/10.1111/mafi.12433.

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AbstractWhen prices of assets traded in a financial market are determined by nonlinear pricing rules, different parities between call and put options have been considered. We show that, under monotonicity, parities between call and put options and discount certificates characterize ambiguity‐sensitive (Choquet and/or Šipoš) pricing rules, that is, pricing rules that can be represented via discounted expectations with respect to non‐additive probability measures. We analyze how nonadditivity relates to arbitrage opportunities and we give necessary and sufficient conditions for Choquet and Šipoš
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Chateauneuf, Alain, and Bernard Cornet. "The risk-neutral non-additive probability with market frictions." Economic Theory Bulletin, March 15, 2022. http://dx.doi.org/10.1007/s40505-022-00216-4.

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AbstractThe fundamental theory of asset pricing has been developed under the two main assumptions that markets are frictionless and have no arbitrage opportunities. In this case the market enforces that replicable assets are valued by a linear function of their payoffs, or as the discounted expectation with respect to the so-called risk-neutral probability. Important evidence of the presence of frictions in financial markets has led to study market pricing rules in such a framework. Recently, Cerreia-Vioglio et al. (J Econ Theory 157:730–762, 2015) have extended the Fundamental Theorem of Fina
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Tesis sobre el tema "Choquet pricing"

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Lacaussade, Charles-Thierry. "Evaluation d'actifs financiers et frictions de marché." Electronic Thesis or Diss., Université Paris sciences et lettres, 2024. http://www.theses.fr/2024UPSLD021.

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Cette thèse vise à fournir des méthodes théoriques et empiriques innovantes dans le cadre de l'évaluation des actifs financiers aux chercheurs en économie, aux teneurs de marché et aux différents acteurs de marché, dont les courtiers, les négociants, les gestionnaires d'actifs et les régulateurs. Nous proposons une extension du théorème fondamental de l'évaluation des actifs (FTAP) adaptée aux marchés présentant des frictions financières. Par conséquent, nos méthodes d'évaluation des actifs permettent d'obtenir un système de prix présentant des bid-ask spreads (écarts entre le prix d’achat et
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Capítulos de libros sobre el tema "Choquet pricing"

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Bae Hyeong-Ohk, Chen Zengjing, and Koo Hyeng Keun. "Nonlinear Expectations and Limit Theorems." In Studies in Probability, Optimization and Statistics. IOS Press, 2011. https://doi.org/10.3233/978-1-60750-835-9-69.

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In this chapter we survey risk measures, nonlinear probability models, and their relationships based on recent research by Peng, Chen and coauthors. We also review recent results about limit theorems for nonlinear probability measures. If a market is complete, the fair price of a contingent claim can be represented by a linear expectation of the discounted payoff of the contingent claim. Statistically, such a linear expectation can be calculated by using Monte Carlo simulations. However, in reality, the financial market is incomplete, and thus the question of how one should determine the price
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Actas de conferencias sobre el tema "Choquet pricing"

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Liyan Han and Juan Zhou. "European option pricing and hedges under heterogeneity with λ-fuzzy measures and choquet intergral." In 2008 IEEE 16th International Conference on Fuzzy Systems (FUZZ-IEEE). IEEE, 2008. http://dx.doi.org/10.1109/fuzzy.2008.4630445.

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