Market delay and G-expectations

We study super-replication of contingent claims in markets with delayed filtration. The first result in this paper reveals that in the Black-Scholes model with constant delay the super-replication price is prohibitively costly and leads to trivial buy-and-hold strategies. Our second result says that the scaling limit of super-replication prices for binomial models with a fixed number of times of delay H is equal to the G-expectation with volatility uncertainty interval [0, sigma root H + 1]. (C) 2019 Elsevier B.V. All rights reserved.