Non-Linear Asset Valuation on Markets with Frictions
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- De Waegenaere, A.M.B. & Kast, R. & Lapied, A., 1996. "Non-Linear Asset Valuation on Markets with Frictions," Discussion Paper 1996-112, Tilburg University, Center for Economic Research.
References listed on IDEAS
- A. Chateauneuf & R. Kast & A. Lapied, 1996. "Choquet Pricing For Financial Markets With Frictions1," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 323-330, July.
- Werner, Jan, 1985. "Equilibrium in economies with incomplete financial markets," Journal of Economic Theory, Elsevier, vol. 36(1), pages 110-119, June.
- Bernard Bensaid & Jean‐Philippe Lesne & Henri Pagès & José Scheinkman, 1992. "Derivative Asset Pricing With Transaction Costs1," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 63-86, April.
- Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
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Cited by:
- Bettzuge, Marc Oliver & Hens, Thorsten & Laitenberger, Marta & Siwik, Thomas, 2000. "On Choquet prices in a GEI-model with intermediation costs," Research in Economics, Elsevier, vol. 54(2), pages 133-152, June.
- De Waegenaere, A.M.B. & Wakker, P.P., 1997.
"Choquet Integrals With Respect to Non-Monotonic Set Functions,"
Other publications TiSEM
85f2b7aa-da15-4c19-9765-b, Tilburg University, School of Economics and Management.
- De Waegenaere, A.M.B. & Wakker, P.P., 1997. "Choquet Integrals With Respect to Non-Monotonic Set Functions," Discussion Paper 1997-44, Tilburg University, Center for Economic Research.
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