Minimax pricing and Choquet pricing. (English) Zbl 1168.60355
Summary: The Choquet pricing and minimax pricing, which are nonlinear expectations, have been widely used in economics, finance and insurance as an alternative to traditional mathematical expectation. However, it is usually not easy to calculate these due to their nonlinearity. In this paper, we consider the calculation of a class of Choquet expectations and minimax expectations obtained from the pricing of a contingent claim with multiple prior probability measures. We show that both the Choquet pricing and minimax pricing of some European options are same, although this result is not in general true for non-European options.
MSC:
| 60H30 | Applications of stochastic analysis (to PDEs, etc.) |
| 28A12 | Contents, measures, outer measures, capacities |
| 91B30 | Risk theory, insurance (MSC2010) |
| 60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
Keywords:
Choquet-expectation; capacity; backward stochastic differential equation (BSDE); minimax expectationReferences:
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