A theoretical framework for the pricing of contingent claims in the presence of model uncertainty

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dc.creatorDenis, Laurent
dc.creatorMartini, Claude
dc.date2006-07-05
dc.date.accessioned2026-07-07T07:18:02Z
dc.date.available2026-07-07T07:18:02Z
dc.descriptionThe 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.
dc.descriptionPublished at http://dx.doi.org/10.1214/105051606000000169 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0607111
dc.identifierhttp://arxiv.org/abs/math/0607111
dc.identifierAnnals of Applied Probability 2006, Vol. 16, No. 2, 827-852
dc.identifierdoi:10.1214/105051606000000169
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/114157
dc.subjectProbability
dc.subject60H05, 60G44 (Primary) 31C15 (Secondary)
dc.titleA theoretical framework for the pricing of contingent claims in the presence of model uncertainty
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