Superreplication under volatility uncertainty for measurable claims

Ariel Neufeld; Marcel Nutz

doi:10.1214/EJP.v18-2358

Superreplication under volatility uncertainty for measurable claims

Ariel Neufeld, Marcel Nutz

Research output: Contribution to journal › Article › peer-review

54 Citations (Scopus)

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.

Original language	English
Journal	Electronic Journal of Probability
Volume	18
DOIs	https://doi.org/10.1214/EJP.v18-2358
Publication status	Published - 2013
Externally published	Yes

ASJC Scopus Subject Areas

Statistics and Probability
Statistics, Probability and Uncertainty

Keywords

Nonlinear expectation
Superreplication
Volatility uncertainty

Access to Document

10.1214/EJP.v18-2358

Cite this

@article{5c6385251aed49369753c834bb4cc82b,

title = "Superreplication under volatility uncertainty for measurable claims",

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.",

keywords = "Nonlinear expectation, Superreplication, Volatility uncertainty",

author = "Ariel Neufeld and Marcel Nutz",

year = "2013",

doi = "10.1214/EJP.v18-2358",

language = "English",

volume = "18",

journal = "Electronic Journal of Probability",

issn = "1083-6489",

publisher = "Institute of Mathematical Statistics",

}

TY - JOUR

T1 - Superreplication under volatility uncertainty for measurable claims

AU - Neufeld, Ariel

AU - Nutz, Marcel

PY - 2013

Y1 - 2013

N2 - 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.

AB - 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.

KW - Nonlinear expectation

KW - Superreplication

KW - Volatility uncertainty

UR - http://www.scopus.com/inward/record.url?scp=84876220890&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84876220890&partnerID=8YFLogxK

U2 - 10.1214/EJP.v18-2358

DO - 10.1214/EJP.v18-2358

M3 - Article

AN - SCOPUS:84876220890

SN - 1083-6489

VL - 18

JO - Electronic Journal of Probability

JF - Electronic Journal of Probability

ER -

Superreplication under volatility uncertainty for measurable claims

Abstract

ASJC Scopus Subject Areas

Keywords

Access to Document

Other files and links

Fingerprint

Cite this