Electronic Journal of Probability

Superreplication under volatility uncertainty for measurable claims

Ariel Neufeld and Marcel Nutz

Full-text: Open access

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.

Article information

Source
Electron. J. Probab. Volume 18 (2013), paper no. 48, 14 pp.

Dates
Accepted: 15 April 2013
First available in Project Euclid: 4 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ejp/1465064273

Digital Object Identifier
doi:10.1214/EJP.v18-2358

Mathematical Reviews number (MathSciNet)
MR3048120

Zentralblatt MATH identifier
1282.91360

Subjects
Primary: 93E20: Optimal stochastic control
Secondary: 91B30: Risk theory, insurance 91B28

Keywords
Volatility uncertainty Superreplication Nonlinear expectation

Rights
This work is licensed under a Creative Commons Attribution 3.0 License.

Citation

Neufeld, Ariel; Nutz, Marcel. Superreplication under volatility uncertainty for measurable claims. Electron. J. Probab. 18 (2013), paper no. 48, 14 pp. doi:10.1214/EJP.v18-2358. https://projecteuclid.org/euclid.ejp/1465064273.


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