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Superreplication under volatility uncertainty for measurable claims. (English) Zbl 1282.91360

Summary: 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.

MSC:

91G40 Credit risk
91G20 Derivative securities (option pricing, hedging, etc.)
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