A Neyman-Pearson problem with ambiguity and nonlinear pricing

Mario Ghossoub

Year of publication:	June 2018
Authors:	Ghossoub, Mario
Published in:	Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 12.2018, 3, p. 365-385
Subject:	Payoff distributional pricing \| Cost-efficiency \| Contingent claims \| Nonlinear pricing \| Bid-ask spread \| Ambiguity \| Knightian uncertainty \| Non-additive probability \| Capacity \| Choquet integral \| Entscheidung unter Unsicherheit \| Decision under uncertainty \| Geld-Brief-Spanne \| Optionspreistheorie \| Option pricing theory \| Preismanagement \| Pricing strategy \| Erwartungsnutzen \| Expected utility \| CAPM \| Risiko \| Risk \| Wahrscheinlichkeitsrechnung \| Probability theory \| Preisdifferenzierung \| Price discrimination \| Risikoaversion \| Risk aversion

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