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Superreplication under Volatility Uncertainty for Measurable Claims

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  • Ariel Neufeld
  • Marcel Nutz

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.

Suggested Citation

  • Ariel Neufeld & Marcel Nutz, 2012. "Superreplication under Volatility Uncertainty for Measurable Claims," Papers 1208.6486, arXiv.org, revised Apr 2013.
    • Handle: RePEc:arx:papers:1208.6486
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    References listed on IDEAS

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    1. Marcel Nutz, 2011. "A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations," Papers 1106.3273, arXiv.org, revised May 2012.
    2. Soner, H. Mete & Touzi, Nizar & Zhang, Jianfeng, 2011. "Martingale representation theorem for the G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 121(2), pages 265-287, February.
    3. Marcel Nutz & H. Mete Soner, 2010. "Superhedging and Dynamic Risk Measures under Volatility Uncertainty," Papers 1011.2958, arXiv.org, revised Jun 2012.
    4. Marcel Nutz & Ramon van Handel, 2012. "Constructing Sublinear Expectations on Path Space," Papers 1205.2415, arXiv.org, revised Apr 2013.
    5. Peng, Shige, 2008. "Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2223-2253, December.
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