A note on pricing of contingent claims under G-expectation
In this paper, we study the pricing of contingent claims under G-expectation. In order to accomodate volatility uncertainty, the price of the risky security is supposed to governed by a general linear stochastic differential equation (SDE) driven by G-Brownian motion. Utilizing the recently developed results of Backward SDE driven by G-Brownian motion, we obtain the superhedging and suberhedging prices of a given contingent claim. Explicit results in the Markovian case are also derived.
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| Date of creation: | Mar 2013 |
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| Handle: | RePEc:arx:papers:1303.4274 |
| Contact details of provider: | Web page: http://arxiv.org/
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