Matches in SemOpenAlex for { <https://semopenalex.org/work/W2950959467> ?p ?o ?g. }
Showing items 1 to 86 of
86
with 100 items per page.
- W2950959467 abstract "We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brownian motion recently introduced by Peng (2007). Our financial market consists of a riskless asset and a risky stock with price process modeled by a geometric G-Brownian motion. We adapt the notion of arbitrage to this more complex situation and consider stock price dynamics which exclude arbitrage opportunities. Due to volatility uncertainty the market is not complete any more. We establish the interval of no-arbitrage prices for general European contingent claims and deduce explicit results in a Markovian setting." @default.
- W2950959467 created "2019-06-27" @default.
- W2950959467 creator A5006420045 @default.
- W2950959467 date "2010-12-07" @default.
- W2950959467 modified "2023-09-27" @default.
- W2950959467 title "Financial markets with volatility uncertainty" @default.
- W2950959467 cites W1557270667 @default.
- W2950959467 cites W1620058300 @default.
- W2950959467 cites W2027654260 @default.
- W2950959467 cites W2042308916 @default.
- W2950959467 cites W2042775870 @default.
- W2950959467 cites W2057609912 @default.
- W2950959467 cites W2093416580 @default.
- W2950959467 cites W2097216668 @default.
- W2950959467 cites W2114457482 @default.
- W2950959467 cites W2129969123 @default.
- W2950959467 cites W2137282451 @default.
- W2950959467 cites W2398967624 @default.
- W2950959467 cites W3125997868 @default.
- W2950959467 hasPublicationYear "2010" @default.
- W2950959467 type Work @default.
- W2950959467 sameAs 2950959467 @default.
- W2950959467 citedByCount "7" @default.
- W2950959467 countsByYear W29509594672012 @default.
- W2950959467 countsByYear W29509594672013 @default.
- W2950959467 countsByYear W29509594672014 @default.
- W2950959467 countsByYear W29509594672017 @default.
- W2950959467 crossrefType "posted-content" @default.
- W2950959467 hasAuthorship W2950959467A5006420045 @default.
- W2950959467 hasConcept C10138342 @default.
- W2950959467 hasConcept C101615488 @default.
- W2950959467 hasConcept C106159729 @default.
- W2950959467 hasConcept C127413603 @default.
- W2950959467 hasConcept C136264566 @default.
- W2950959467 hasConcept C149782125 @default.
- W2950959467 hasConcept C160623529 @default.
- W2950959467 hasConcept C162324750 @default.
- W2950959467 hasConcept C19244329 @default.
- W2950959467 hasConcept C204036174 @default.
- W2950959467 hasConcept C2780378061 @default.
- W2950959467 hasConcept C68710425 @default.
- W2950959467 hasConcept C78519656 @default.
- W2950959467 hasConcept C85393063 @default.
- W2950959467 hasConcept C91602232 @default.
- W2950959467 hasConceptScore W2950959467C10138342 @default.
- W2950959467 hasConceptScore W2950959467C101615488 @default.
- W2950959467 hasConceptScore W2950959467C106159729 @default.
- W2950959467 hasConceptScore W2950959467C127413603 @default.
- W2950959467 hasConceptScore W2950959467C136264566 @default.
- W2950959467 hasConceptScore W2950959467C149782125 @default.
- W2950959467 hasConceptScore W2950959467C160623529 @default.
- W2950959467 hasConceptScore W2950959467C162324750 @default.
- W2950959467 hasConceptScore W2950959467C19244329 @default.
- W2950959467 hasConceptScore W2950959467C204036174 @default.
- W2950959467 hasConceptScore W2950959467C2780378061 @default.
- W2950959467 hasConceptScore W2950959467C68710425 @default.
- W2950959467 hasConceptScore W2950959467C78519656 @default.
- W2950959467 hasConceptScore W2950959467C85393063 @default.
- W2950959467 hasConceptScore W2950959467C91602232 @default.
- W2950959467 hasLocation W29509594671 @default.
- W2950959467 hasOpenAccess W2950959467 @default.
- W2950959467 hasPrimaryLocation W29509594671 @default.
- W2950959467 hasRelatedWork W1495882550 @default.
- W2950959467 hasRelatedWork W1540777668 @default.
- W2950959467 hasRelatedWork W1705768254 @default.
- W2950959467 hasRelatedWork W1963490892 @default.
- W2950959467 hasRelatedWork W1992382156 @default.
- W2950959467 hasRelatedWork W2009844564 @default.
- W2950959467 hasRelatedWork W2014508318 @default.
- W2950959467 hasRelatedWork W2027654260 @default.
- W2950959467 hasRelatedWork W2097216668 @default.
- W2950959467 hasRelatedWork W2133157852 @default.
- W2950959467 hasRelatedWork W2159601837 @default.
- W2950959467 hasRelatedWork W2307420682 @default.
- W2950959467 hasRelatedWork W2702608272 @default.
- W2950959467 hasRelatedWork W2804217176 @default.
- W2950959467 hasRelatedWork W2950223227 @default.
- W2950959467 hasRelatedWork W3121318510 @default.
- W2950959467 hasRelatedWork W3123125975 @default.
- W2950959467 hasRelatedWork W3124778452 @default.
- W2950959467 hasRelatedWork W771625127 @default.
- W2950959467 hasRelatedWork W1617568100 @default.
- W2950959467 isParatext "false" @default.
- W2950959467 isRetracted "false" @default.
- W2950959467 magId "2950959467" @default.
- W2950959467 workType "article" @default.