Superreplication under Volatility Uncertainty for Measurable Claims
Ariel Neufeld and
Papers from arXiv.org
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.
Date: 2012-08, Revised 2013-04
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