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Superreplication under volatility uncertainty for measurable claims


 
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1. Title Title of document Superreplication under volatility uncertainty for measurable claims
 
2. Creator Author's name, affiliation, country Ariel Neufeld; ETH Zürich; Switzerland
 
2. Creator Author's name, affiliation, country Marcel Nutz; Columbia University; United States
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Volatility uncertainty; Superreplication; Nonlinear expectation
 
3. Subject Subject classification 93E20; 91B30; 91B28
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2013-04-15
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/2358
 
10. Identifier Digital Object Identifier 10.1214/EJP.v18-2358
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 18
 
12. Language English=en en
 
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