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Superreplication under Volatility Uncertainty for Measurable Claims

  • Ariel Neufeld
  • Marcel Nutz
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    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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    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
    Contact details of provider: Web page: http://arxiv.org/

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    1. Marcel Nutz & H. Mete Soner, 2010. "Superhedging and Dynamic Risk Measures under Volatility Uncertainty," Papers 1011.2958, arXiv.org, revised Jun 2012.
    2. Marcel Nutz & Ramon van Handel, 2012. "Constructing Sublinear Expectations on Path Space," Papers 1205.2415, arXiv.org, revised Apr 2013.
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