Duality and General Equilibrium Theory Under Knightian Uncertainty-Reference-Cited by-同舟云学术

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Duality and General Equilibrium Theory Under Knightian Uncertainty

Published:2018-01 Issue:1 Volume:9 Page:381-400
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Beissner Patrick,Denis Laurent

Funder

Agence Nationale de la Recherche

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Link

https://epubs.siam.org/doi/pdf/10.1137/17M1120877

Reference23 articles.

1. Pricing and hedging derivative securities in markets with uncertain volatilities

2. Equilibrium prices and trade under ambiguous volatility

3. The Impact of Uncertainty Shocks

4. Arbitrage and duality in nondominated discrete-time models

5. Volatility Derivatives

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives;SIAM Journal on Financial Mathematics;2022-11-21

2. Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps;Stochastic Analysis and Applications;2021-10-26

3. Viability and Arbitrage Under Knightian Uncertainty;Econometrica;2021

4. Arbitrage-free modeling under Knightian uncertainty;Mathematics and Financial Economics;2020-06-09

5. Coherent-Price Systems and Uncertainty-Neutral Valuation;Risks;2019-09-17

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