Coherent-price systems and uncertainty-neutral valuation

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dc.contributor.authorBeissner, Patrick
dc.date.accessioned2020-07-17T00:57:59Z
dc.date.available2020-07-17T00:57:59Z
dc.date.issued2019-09-17
dc.date.updated2020-04-05T08:18:50Z
dc.description.abstractThis 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. 1976. The arbitrage theory of capital asset pricing. Journal of Economic Theory 13:341–60). In the spirit of Harrison and Kreps (1979) (Harrison, J. Michael, and David M. Kreps. 1979. Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory 20: 381–408), the paper establishes a micro-economic foundation of viability in which ambiguity-neutrality imposes a fair-pricing principle via symmetric multiple prior martingales. The resulting equivalent symmetric martingale measure set exists if the uncertain volatility in asset prices is driven by an ambiguous Brownian motion.en_AU
dc.format.mimetypeapplication/pdfen_AU
dc.identifier.issn2227-9091en_AU
dc.identifier.urihttp://hdl.handle.net/1885/206310
dc.language.isoen_AUen_AU
dc.provenanceThis article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).en_AU
dc.publisherMDPI Publicationen_AU
dc.rights© 2019 by the authoren_AU
dc.rights.licenseCreative Commons Attribution (CC BY) licenseen_AU
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/en_AU
dc.sourceRisksen_AU
dc.subjectambiguous volatilityen_AU
dc.subjectnonlinear expectations and pricesen_AU
dc.subjectarbitrageen_AU
dc.subjectasset pricingen_AU
dc.subjectpreference-free valuationen_AU
dc.subjectmartingalesen_AU
dc.titleCoherent-price systems and uncertainty-neutral valuationen_AU
dc.typeJournal articleen_AU
dcterms.accessRightsOpen Accessen_AU
dcterms.dateAccepted2019-08-02
local.bibliographicCitation.issue3en_AU
local.bibliographicCitation.lastpage18en_AU
local.bibliographicCitation.startpage1en_AU
local.contributor.affiliationBeissner, Patrick, College of Business and Economics, ANUen_AU
local.contributor.authoremailu1021120@anu.edu.auen_AU
local.contributor.authoruidBeissner, Patrick, u1021120en_AU
local.description.notesImported from ARIESen_AU
local.identifier.absfor140104 - Microeconomic Theoryen_AU
local.identifier.absfor140103 - Mathematical Economicsen_AU
local.identifier.absseo910299 - Microeconomics not elsewhere classifieden_AU
local.identifier.ariespublicationu5786633xPUB1119en_AU
local.identifier.citationvolume7en_AU
local.identifier.doi10.3390/risks7030098en_AU
local.identifier.scopusID2-s2.0-85073413810
local.identifier.uidSubmittedByu5786633en_AU
local.publisher.urlhttps://www.mdpi.com/en_AU
local.type.statusPublished Versionen_AU

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