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A note on pricing of contingent claims under G-expectation


  • Mingshang Hu
  • Shaolin Ji


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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  • Mingshang Hu & Shaolin Ji, 2013. "A note on pricing of contingent claims under G-expectation," Papers 1303.4274,
  • Handle: RePEc:arx:papers:1303.4274

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    References listed on IDEAS

    1. J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante, 2011. "Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations," Papers 1111.2462,, revised May 2013.
    2. Martin Forde & Antoine Jacquier & Aleksandar Mijatovic, 2009. "Asymptotic formulae for implied volatility in the Heston model," Papers 0911.2992,, revised May 2010.
    3. Aleksandar Mijatovi'c & Peter Tankov, 2012. "A new look at short-term implied volatility in asset price models with jumps," Papers 1207.0843,, revised Jul 2012.
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