
Open access
Date
2013-04Type
- Journal Article
Citations
Cited 46 times in
Web of Science
Cited 44 times in
Scopus
ETH Bibliography
yes
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Abstract
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.
Permanent link
https://doi.org/10.3929/ethz-b-000066154Publication status
publishedExternal links
Journal / series
Electronic Journal of ProbabilityVolume
Pages / Article No.
Publisher
Institute of Mathematical StatisticsSubject
Nonlinear expectation; Superreplication; Volatility uncertaintyOrganisational unit
03658 - Schweizer, Martin / Schweizer, Martin
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Citations
Cited 46 times in
Web of Science
Cited 44 times in
Scopus
ETH Bibliography
yes
Altmetrics