CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS1
- 1 July 1996
- journal article
- Published by Wiley in Mathematical Finance
- Vol. 6 (3) , 323-330
- https://doi.org/10.1111/j.1467-9965.1996.tb00119.x
Abstract
No abstract availableKeywords
All Related Versions
This publication has 21 references indexed in Scilit:
- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversionAnnals of Operations Research, 1994
- A reexamination of put‐call parity on index futuresJournal of Futures Markets, 1994
- DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1Mathematical Finance, 1992
- Uncertainty Aversion, Risk Aversion, and the Optimal Choice of PortfolioEconometrica, 1992
- Primes and Scores: An Essay on Market ImperfectionsThe Journal of Finance, 1989
- Subjective Probability and Expected Utility without AdditivityEconometrica, 1989
- The Dual Theory of Choice under RiskEconometrica, 1987
- Integral Representation Without AdditivityProceedings of the American Mathematical Society, 1986
- Put-Call Parity and Market EfficiencyThe Journal of Finance, 1979
- Transactions costs and the relationship between put and call pricesJournal of Financial Economics, 1974