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Superreplication under Volatility Uncertainty for Measurable Claims
Volatility uncertainty Superreplication Nonlinear expectation
2012/9/14
We establish the duality-formula for the superreplicationprice in a setting of volatility uncertainty which includes the example of “random G-expectation.” In contrast to previous results, the conting...
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consist...
Superhedging and Dynamic Risk Measures under Volatility Uncertainty
Superhedging Dynamic Risk Measures
2010/12/13
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. W...