Bid and ask prices as non-linear continuous time G-expectations based on distortions

Ernst Eberlein; Dilip B. Madan; Martijn Pistorius; Marc Yor

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Bid and ask prices as non-linear continuous time G-expectations based on distortions

机译：出价和要价为基于失真的非线性连续时间G期望

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摘要

Probability distortions for constructing nonlinear G-expectations for the bid and ask or lower and upper prices in continuous time are here extended to the direct use of measure distortions. Fairly generally measure distortions can be constructed as probability distortions applied to an exponential distribution function on the half line. The valuation methodologies are extended beyond contract valuation to the valuation of economic activities with infinite lives. Explicit computations illustrate the procedures for stock indices and insurance loss processes.

机译：用于构造连续时间的买入或卖出或上下限价格的非线性G期望的概率失真在此扩展为直接使用度量失真。一般而言，度量失真可以构造为将概率失真应用于半线上的指数分布函数。评估方法已从合同评估扩展到了具有无限生命的经济活动的评估。显式计算说明了股指和保险损失过程的程序。

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来源
《Mathematics and financial economics》 |2014年第3期|265-289|共25页
作者
Ernst Eberlein; Dilip B. Madan; Martijn Pistorius; Marc Yor;
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作者单位

University of Freiburg, Freiburg, Germany;

Robert H. Smith School of Business, College Park, MD, USA;

Imperial College, London, UK;

Universite Pierre et Marie Curie, Paris, France;

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正文语种 eng
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关键词
Discounted variance gamma; Measure distortions; Inhomogeneous loss process; Law invariant risk measures;

机译：折扣方差伽马;测量失真;损失过程不均匀;法律不变风险措施;

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7. Bid and Ask Prices as Non-Linear Continuous Time G-Expectations Based on Distortions [O] . Ernst Eberlein, Martijn Pistorius, Dilip B. Madan, 2013

机译：基于失真的非线性连续时间G期望出价和要价

Bid and ask prices as non-linear continuous time G-expectations based on distortions

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