@techreport{0df3c1bd04a4450bbf18e523acdb2c7a,
title = "Non-Linear Asset Valuation on Markets with Frictions",
abstract = "This paper provides a non-linear pricing rule for the valuation of assets on financial markets with intermediaries.The non-linearity arises from the fact that dealers charge a price for their intermediation between buyer and seller. The pricing rule we propose is an alternative for the wellknown no-arbitrage pricing on markets without frictions.The price of an asset equals the signed Choquet integral of its discounted payo with respect to a concave signed capacity.We show that this pricing rule is consistent with equilibrium. Furthermore, equilibria are shown to satisfy a notion of constrained Pareto optimality.",
keywords = "game theory, duopoly",
author = "{De Waegenaere}, A.M.B. and R. Kast and A. Lapied",
note = "Pagination: 15",
year = "1996",
language = "English",
volume = "1996-112",
series = "CentER Discussion Paper",
publisher = "Operations research",
type = "WorkingPaper",
institution = "Operations research",
}