The relations of Choquet Integral and G-Expectation
Mathematical Finance
2021-02-23 v1
Abstract
In incomplete financial markets, there exists a set of equivalent martingale measures (or risk-neutral probabilities) in an arbitrage-free pricing of the contingent claims. Minimax expectation is closely related to the -expectation which is the solution of a certain stochastic differential equation. We show that Choquet expectation and minimax expectation are equal in pricing European type options, whose payoff is a monotone function of the terminal stock price .
Keywords
Cite
@article{arxiv.2102.10213,
title = {The relations of Choquet Integral and G-Expectation},
author = {Ju Hong Kim},
journal= {arXiv preprint arXiv:2102.10213},
year = {2021}
}