A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
Denis, Laurent ; Martini, Claude
Ann. Appl. Probab., Tome 16 (2006) no. 1, p. 827-852 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
The aim of this work is to evaluate the cheapest superreplication price of a general (possibly path-dependent) European contingent claim in a context where the model is uncertain. This setting is a generalization of the uncertain volatility model (UVM) introduced in by Avellaneda, Levy and Paras. The uncertainty is specified by a family of martingale probability measures which may not be dominated. We obtain a partial characterization result and a full characterization which extends Avellaneda, Levy and Paras results in the UVM case.
Publié le : 2006-05-14
Classification:  Superreplication,  capacity,  uncertain volatility model,  nondominated model,  stochastic integral,  option pricing,  60H05,  60G44,  31C15 
@article{1151592252,
     author = {Denis, Laurent and Martini, Claude},
     title = {A theoretical framework for the pricing of contingent claims in the presence of model uncertainty},
     journal = {Ann. Appl. Probab.},
     volume = {16},
     number = {1},
     year = {2006},
     pages = { 827-852},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1151592252}
}

Denis, Laurent; Martini, Claude. A theoretical framework for the pricing of contingent claims in the presence of model uncertainty. Ann. Appl. Probab., Tome 16 (2006) no. 1, pp.  827-852. http://gdmltest.u-ga.fr/item/1151592252/