3 citations · 8 across the 3 of their papers we have counts for
3 papers
q-fin.PR2013★ 2 cited
G-consistent price system and bid-ask pricing for European contingent claims under Knightian uncertainty
Wei Chen
The target of this paper is to consider model the risky asset price on the financial market under the Knightian uncertainty, and pricing the ask and bid prices of the uncertain ris…
q-fin.PR2013★ 3 cited
Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty
Wei Chen
G-framework is presented by Peng [41] for measure risk under uncertainty. In this paper, we define fractional G-Brownian motion (fGBm). Fractional G-Brownian motion is a centered G…
q-fin.PR2011★ 3 cited
Time Consistent Bid-Ask Dynamic Pricing Mechanisms for Contingent Claims and Its Numerical Simulations Under Uncertainty
Wei Chen
We study time consistent dynamic pricing mechanisms of European contingent claims under uncertainty by using G framework introduced by Peng ([24]). We consider a financial market c…