A theoretical framework for the pricing of contingent claims in the presence of model uncertainty

DOI10.1214/105051606000000169zbMath1142.91034arXivmath/0607111MaRDI QIDQ997952

Laurent Denis, Claude Martini

Publication date: 8 August 2007

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0607111

zbMATH Keywords

capacity; superreplication; option pricing; stochastic integral; uncertain volatility model; nondominated model

Mathematics Subject Classification ID

60G44: Martingales with continuous parameter

60J45: Probabilistic potential theory

91G20: Derivative securities (option pricing, hedging, etc.)

60H05: Stochastic integrals

31C15: Potentials and capacities on other spaces

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