Electronic Journal of Probability

Superreplication under volatility uncertainty for measurable claims

Ariel Neufeld and Marcel Nutz

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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

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

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

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

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

Volatility uncertainty Superreplication Nonlinear expectation

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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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