A risk-neutral equilibrium leading to uncertain volatility pricing.

Johannes Muhle-Karbe Marcel Nutz

Published in: Finance Stochastics (2018)

Keyphrases

risk neutral
risk aversion
exchange rate
risk averse
financial markets
utility function
expected utility
stock price
risk sensitive
stock market
pricing mechanism
demand function
decision makers
portfolio selection
decision theory
decision making
dynamic pricing
historical data
nash equilibrium