In a discrete time setting, we study the central problem of giving fair price to some financial product. This has been mostly treated using martingale measures and no-arbitrage conditions. We propose different approach based on convex duality instead duality: The prices are expressed Fenchel conjugate bi-conjugate without any condition. super-hedging resolution leads endogenously weak condition...

We study the envy free pricing problem faced by a seller who wishes to maximize revenue by setting prices for bundles of items. Consistent with standard usage [9] [10], we define an allocation/pricing to be envy free if no agent wishes to replace her allocation (and pricing) with those of another agent. If there is an unlimited supply of items and agents are single minded then we show that find...

Abstract We study asset pricing implications of a revealing and tractable formulation smooth ambiguity investor preferences in continuous-time environment. Investors do not observe hidden Markov state instead make inferences about this using past data. show that distribution alters decisions equilibrium prices. Our allows us to apply recursive filtering Hamilton–Jacobi–Bellman methods solve the...