Superreplication under volatility uncertainty for measurable claims
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Publication:388916
DOI10.1214/EJP.V18-2358zbMATH Open1282.91360arXiv1208.6486MaRDI QIDQ388916FDOQ388916
Authors: Ariel Neufeld, Marcel Nutz 
Publication date: 17 January 2014
Published in: Electronic Journal of Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1208.6486
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- Efficient hedging under ambiguity in continuous time
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