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Superreplication under Volatility Uncertainty for Measurable Claims

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  • Ariel Neufeld
  • Marcel Nutz
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    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.

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    File URL: http://arxiv.org/pdf/1208.6486
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1208.6486.

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    Date of creation: Aug 2012
    Date of revision: Apr 2013
    Handle: RePEc:arx:papers:1208.6486

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    Web page: http://arxiv.org/

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Marcel Nutz & Ramon van Handel, 2012. "Constructing Sublinear Expectations on Path Space," Papers 1205.2415, arXiv.org, revised Apr 2013.
    2. Marcel Nutz & H. Mete Soner, 2010. "Superhedging and Dynamic Risk Measures under Volatility Uncertainty," Papers 1011.2958, arXiv.org, revised Jun 2012.
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    Cited by:
    1. Marcel Nutz, 2013. "Superreplication under Model Uncertainty in Discrete Time," Papers 1301.3227, arXiv.org, revised Feb 2014.
    2. Bruno Bouchard & Marcel Nutz, 2013. "Arbitrage and Duality in Nondominated Discrete-Time Models," Papers 1305.6008, arXiv.org, revised Feb 2014.
    3. Alexander M. G. Cox & Jiajie Wang, 2013. "Optimal robust bounds for variance options," Papers 1308.4363, arXiv.org.
    4. Marcel Nutz, 2013. "Utility Maximization under Model Uncertainty in Discrete Time," Papers 1307.3597, arXiv.org.
    5. Marcel Nutz, 2014. "Robust Superhedging with Jumps and Diffusion," Papers 1407.1674, arXiv.org.
    6. Dylan Possama\"i & Guillaume Royer & Nizar Touzi, 2013. "On the Robust superhedging of measurable claims," Papers 1302.1850, arXiv.org, revised Feb 2013.
    7. Marcel Nutz & Jianfeng Zhang, 2012. "Optimal Stopping under Adverse Nonlinear Expectation and Related Games," Papers 1212.2140, arXiv.org, revised Jul 2014.

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