Superreplication under Volatility Uncertainty for Measurable Claims
AbstractWe 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1208.6486.
Date of creation: Aug 2012
Date of revision: Apr 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-09 (All new papers)
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- Marcel Nutz & Ramon van Handel, 2012. "Constructing Sublinear Expectations on Path Space," Papers 1205.2415, arXiv.org, revised Apr 2013.
- Marcel Nutz & H. Mete Soner, 2010. "Superhedging and Dynamic Risk Measures under Volatility Uncertainty," Papers 1011.2958, arXiv.org, revised Jun 2012.
- Marcel Nutz, 2013. "Superreplication under Model Uncertainty in Discrete Time," Papers 1301.3227, arXiv.org, revised Feb 2014.
- Bruno Bouchard & Marcel Nutz, 2013. "Arbitrage and Duality in Nondominated Discrete-Time Models," Papers 1305.6008, arXiv.org, revised Feb 2014.
- Alexander M. G. Cox & Jiajie Wang, 2013. "Optimal robust bounds for variance options," Papers 1308.4363, arXiv.org.
- Marcel Nutz, 2013. "Utility Maximization under Model Uncertainty in Discrete Time," Papers 1307.3597, arXiv.org.
- Marcel Nutz, 2014. "Robust Superhedging with Jumps and Diffusion," Papers 1407.1674, arXiv.org.
- Dylan Possama\"i & Guillaume Royer & Nizar Touzi, 2013. "On the Robust superhedging of measurable claims," Papers 1302.1850, arXiv.org, revised Feb 2013.
- 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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