A random set characterization of possibility measures
Information Sciences—Informatics and Computer Science: An International Journal
A survey of the theory of coherent lower previsions
International Journal of Approximate Reasoning
Editorial: Imprecise probabilities in finance and economics
International Journal of Approximate Reasoning
American option pricing with imprecise risk-neutral probabilities
International Journal of Approximate Reasoning
The fundamental theorems of prevision and asset pricing
International Journal of Approximate Reasoning
Pricing a contingent claim with random interval or fuzzy random payoff in one-period setting
Computers & Mathematics with Applications
A new application of fuzzy set theory to the Black-Scholes option pricing model
Expert Systems with Applications: An International Journal
Random intervals as a model for imprecise information
Fuzzy Sets and Systems
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In this article, a new financial market model, in which securities have random interval valued payoffs, is proposed. As an extension of traditional random market model, some concepts, such as robust arbitrage opportunities, risk-neutral pricing measures and robust replicative strategies, are given and discussed parallel to those in traditional market analysis. With these new concepts, problems of pricing and hedging are analyzed. It is shown that the requirement of no robust arbitrage opportunities is equivalent to the existence of risk-neutral pricing measures. Taking no robust arbitrage as the valuation principle, the problem of pricing a contingent claim with random interval valued payoff is discussed. All no robust arbitrage prices of the claim form an interval, whose endpoints can be got from the risk-neutral pricing measures or from robust replicative strategies.