We study pricing and hedging under parameter uncertainty for a class of Markov processes which we call generalized affine processes and which includes the Black-Scholes model as well as the constant elasticity of variance (CEV) model as special cases. Based on a general dynamic programming...

We investigate statistical arbitrage strategies when there is ambiguity about the underlying time-discrete financial model. Pricing measures are assumed to be martingale measures calibrated to prices of liquidly traded options, whereas the set of admissible physical measures is not necessarily...