The paper uses fuzzy measure theory to represent liquidity risk, i.e. the case in which the probability measure used to price contingent claims is not known precisely. This theory enables one to account for different values of long and short positions. Liquidity risk is introduced by...

A recent stream of literature has suggested that many market imperfections or 'puzzles' can be easily explained once information ambiguity, or knightian uncertainty is taken into account. Here we propose a parametric representation of this concept by means of a special class of fuzzy measures,...

A problem that is very relevant in applications of copula functions to finance is the computation of the survival copula, which is applied to enforce multivariate put-call parity. This may be very complex for large dimensions. The problem is a special case of the more general problem of volume...