The relations of Choquet Integral and G-Expectation

2021/02/20 by Ju Hong Kim, Kim, Ju Hong
Decision Sciences · Economics, Econometrics and Finance · #60G42 60G44 60H10 #FOS: Economics and business #Financial Markets and Investment Strategies #Mathematical Finance (q-fin.MF) #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2102.10213

openalex publication_date 2021/02/20 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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 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.

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