Superreplication under volatility uncertainty for measurable claims

Ariel Neufeld (ETH Zürich)
Marcel Nutz (Columbia University)

Abstract


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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Pages: 1-14

Publication Date: April 15, 2013

DOI: 10.1214/EJP.v18-2358

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