Search Results - subject:"Preference Free Valuation" - EconBiz

Coherent-price systems and uncertainty-neutral valuation

Beißner, Patrick - In: Risks 7 (2019) 3, pp. 1-18

This paper considers fundamental questions of arbitrage pricing that arises when the uncertainty model incorporates ambiguity about risk. This additional ambiguity motivates a new principle of risk- and ambiguity-neutral valuation as an extension of the paper by Ross (1976) (Ross, Stephen A....

Persistent link: https://www.econbiz.de/10013200516

Coherent-price systems and uncertainty-neutral valuation

Beißner, Patrick - In: Risks : open access journal 7 (2019) 3/98, pp. 1-18

This paper considers fundamental questions of arbitrage pricing that arises when the uncertainty model incorporates ambiguity about risk. This additional ambiguity motivates a new principle of risk- and ambiguity-neutral valuation as an extension of the paper by Ross (1976) (Ross, Stephen A....

Persistent link: https://www.econbiz.de/10012126423

Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong

Peeters, Bas; Dert, Cees L.; Lucas, André - 2003

, but diversified. Our result shows that preference free valuation of option portfolios using linear assets only is …

Persistent link: https://www.econbiz.de/10010324983

Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong

Peeters, Bas; Dert, Cees L.; Lucas, André - Tinbergen Instituut - 2003

, but diversified. Our result shows that preference free valuation of option portfolios using linear assets only is …

Persistent link: https://www.econbiz.de/10011257082

Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong

Peeters, Bas; Dert, Cees L.; Lucas, André - Tinbergen Institute - 2003

, but diversified. Our result shows that preference free valuation of option portfolios using linear assets only is …

Persistent link: https://www.econbiz.de/10005137343

Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong

Peeters, Bas; Dert, Cees; Lucas, André - 2003

, but diversified. Our result shows that preference free valuation of option portfolios using linear assets only is …

Persistent link: https://www.econbiz.de/10011334345

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