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Superreplication under volatility uncertainty for measurable claims

   
@article{EJP2358,
	author = {Ariel Neufeld and Marcel Nutz},
	title = {Superreplication under volatility uncertainty for measurable claims},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {18},
	year = {2013},
	keywords = {Volatility uncertainty; Superreplication; Nonlinear expectation},
	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.},
	pages = {no. 48, 1-14},
	issn = {1083-6489},
	doi = {10.1214/EJP.v18-2358},    
        url = {http://ejp.ejpecp.org/article/view/2358}}