Superreplication under Volatility Uncertainty for Measurable Claims

2012/08/31 by Neufeld, Ariel, Nutz, Marcel · 2 citations
#91B28 #91B30 #93E20 #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Pricing of Securities (q-fin.PR) #Probability (math.PR)

paper · doi:10.48550/arxiv.1208.6486

Abstract

We establish the duality-formula for the superreplication price in a setting of volatility uncertainty which includes the example of "random G-expectation." In contrast to previous results, the contingent claim is not assumed to be quasi-continuous.

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