Superreplication under Volatility Uncertainty for Measurable Claims

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.

MoreLess

Year of publication:	2012-08
Authors:	Neufeld, Ariel ; Nutz, Marcel
Institutions:	arXiv.org

More details

Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010638836