A note on pricing of contingent claims under G-expectation

2013/03/18 by Mingshang Hu, Hu, Mingshang, Shaolin Ji +1
Economics, Econometrics and Finance · Social Sciences · #60H30 #91G20 #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1303.4274

openalex publication_date 2013/03/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we study the pricing of contingent claims under G-expectation. In order to accomodate volatility uncertainty, the price of the risky security is supposed to governed by a general linear stochastic differential equation (SDE) driven by G-Brownian motion. Utilizing the recently developed results of Backward SDE driven by G-Brownian motion, we obtain the superhedging and suberhedging prices of a given contingent claim. Explicit results in the Markovian case are also derived.

Citations

• Financial markets with volatility uncertainty

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