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2013 Superreplication under volatility uncertainty for measurable claims
Ariel Neufeld, Marcel Nutz
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Electron. J. Probab. 18: 1-14 (2013). DOI: 10.1214/EJP.v18-2358


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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Ariel Neufeld. Marcel Nutz. "Superreplication under volatility uncertainty for measurable claims." Electron. J. Probab. 18 1 - 14, 2013.


Accepted: 15 April 2013; Published: 2013
First available in Project Euclid: 4 June 2016

zbMATH: 1282.91360
MathSciNet: MR3048120
Digital Object Identifier: 10.1214/EJP.v18-2358

Primary: 93E20
Secondary: 91B28 , 91B30

Keywords: nonlinear expectation , Superreplication , volatility uncertainty

Vol.18 • 2013
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