Choquet积分与G-期望的关系
The relations of Choquet Integral and G-Expectation
摘要：
在不完全金融市场中，未定权益的无仲裁定价存在一组等价鞅测度（或风险中性概率）。极小极大期望与$g$ -期望密切相关，而$g$-期望是某个随机微分方程的解。证明了在欧式期权定价中，Choquet期望和Minimax期望是等价的，其收益是股票价格$S_T$的单调函数.
英文摘要：
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 $g$-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 $S_T$.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
