A note on pricing of contingent claims under G-expectation
arXiv:1303.4274
Abstract
In this paper, we study the pricing of contingent claims under G-expectation. In order to accomodate volatility uncertainty, the price of the risky security is supposed to governed by a general linear stochastic differential equation (SDE) driven by G-Brownian motion. Utilizing the recently developed results of Backward SDE driven by G-Brownian motion, we obtain the superhedging and suberhedging prices of a given contingent claim. Explicit results in the Markovian case are also derived.
15 pages. arXiv admin note: substantial text overlap with arXiv:1212.5403, arXiv:1206.5889
References in corpus (5)
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- A New Central Limit Theorem under Sublinear Expectations
- G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty
- Backward Stochastic Differential Equations Driven by G-Brownian Motion
- Financial markets with volatility uncertainty