Minimax pricing and Choquet pricing

被引：30

作者：

Chen, Zengjing ^{[1
]}

Kulperger, Reg

机构：

[1] Shandong Univ, Dept Math, Jinan 250100, Peoples R China

[2] Univ Western Ontario, Dept Stat & Actuarial Sci, London, ON, Canada

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2006年 / 38卷 / 03期

基金：

加拿大自然科学与工程研究理事会; 中国国家自然科学基金;

关键词：

Choquet-expectation; capacity; backward stochastic differential equation(BSDE); minimax expectation;

D O I：

10.1016/j.insmatheco.2005.11.010

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：518 / 528

页数：11

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