Submodular financial markets with frictions
研究了买卖价差市场中无套利且超对冲价格为次模的金融市场，给出了次模定价规则的特征刻画，包括与Choquet积分和风险中性容度的等价关系。
Abstract This paper studies arbitrage-free financial markets with bid-ask spreads whose super-hedging prices are submodular. The submodular assumption on the super-hedging price, or the supermodularity usually assumed on utility functions, is the formal expression of perfect complementarity, which dates back to Fisher, Pareto, and Edgeworth, according to Samuelson (J Econ Lit 12:1255–1289, 1974). Our main contribution provides several characterizations of financial markets with frictions that are submodular as a consequence of a more general study of submodular pricing rules. First, a market is submodular if and only if its super-hedging price is a Choquet integral and if and only if its set of risk-neutral probabilities is representable as the core of a submodular non-additive probability that is uniquely defined, called risk-neutral capacity. Second, a market is representable by its risk neutral capacity if and only if it is equivalent to a market, only composed of bid-ask event securities.