231 citations · 874 across the 46 of their papers we have counts for
4 papers · 1 filter
Superhedging and Dynamic Risk Measures under Volatility Uncertainty
Marcel Nutz, H. Mete Soner
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 volati…
Random G-expectations
Marcel Nutz
We construct a time-consistent sublinear expectation in the setting of volatility uncertainty. This mapping extends Peng's G-expectation by allowing the range of the volatility unc…
Small-Time Asymptotics of Option Prices and First Absolute Moments
Johannes Muhle-Karbe, Marcel Nutz
We study the leading term in the small-time asymptotics of at-the-money call option prices when the stock price process follows a general martingale. This is equivalent to stud…
Risk Aversion Asymptotics for Power Utility Maximization
Marcel Nutz
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one.…