Theoretical framework for the pricing of contingent claims in the presence of model uncertainty

• 成果类型: Article
• 署名作者: Denis, Laurent; Martini, Claude
• 署名单位: Universite Paris Saclay
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051606000000169
• 发表日期: 2006
• 页码: 827-852
• 关键词: risk

摘要

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.