Market delay and G-expectations

Yan Dolinsky and Jonathan Zouari

Stochastic Processes and their Applications, 2020, vol. 130, issue 2, 694-707

Abstract: We study super-replication of contingent claims in markets with delayed filtration. The first result in this paper reveals that in the Black–Scholes model with constant delay the super-replication price is prohibitively costly and leads to trivial buy-and-hold strategies. Our second result says that the scaling limit of super-replication prices for binomial models with a fixed number of times of delay H is equal to the G-expectation with volatility uncertainty interval [0,σH+1].

Keywords: Super-replication; Market delay; Duality; G-expectation (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:130:y:2020:i:2:p:694-707

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DOI: 10.1016/j.spa.2019.03.007

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