A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
From MaRDI portal
Publication:997952
DOI10.1214/105051606000000169zbMath1142.91034arXivmath/0607111MaRDI QIDQ997952
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
capacity; superreplication; option pricing; stochastic integral; uncertain volatility model; nondominated model
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
Related Items
Extension and Application of Itô's Formula UnderG-Framework, Robust utility maximization for a diffusion market model with misspecified coefficients, Random \(G\)-expectations, Robust maximization of asymptotic growth under covariance uncertainty, On representation theorem of sublinear expectation related to \(G\)-Lévy process and paths of \(G\)-Lévy process, Second order reflected backward stochastic differential equations, Wellposedness of second order backward SDEs, Martingale representation theorem for the \(G\)-expectation, Stopping times and related Itô's calculus with \(G\)-Brownian motion, Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths, Optimal arbitrage under model uncertainty, Weak approximation of \(G\)-expectations, Local time and Tanaka formula for the \(G\)-Brownian motion, Continuous-time trading and the emergence of probability, Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion, On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion, Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations, Dual formulation of second order target problems, Risk measuring under model uncertainty, Backward stochastic differential equations driven by \(G\)-Brownian motion, Ambiguous volatility, possibility and utility in continuous time, A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options, Constructing sublinear expectations on path space, Second order backward stochastic differential equations with quadratic growth, Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation, A Girsanov Type Theorem Under G-Framework, ROBUST EXPONENTIAL HEDGING AND INDIFFERENCE VALUATION
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Espaces de Sobolev gaussiens. (Gaussian Sobolev spaces)
- Dirichlet forms and analysis on Wiener space
- Optional decomposition and Lagrange multipliers
- Convex measures of risk and trading constraints
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- Theory of capacities
- Coherent Measures of Risk
- REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
