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

被引：206

作者：

Denis, Laurent

Martini, Claude

机构：

[1] Univ Evry Val Essone, Dept Math Equipe Anal & Probabil, F-91025 Evry, France

[2] Inst Natl Rech Informat & Automat, F-78153 Le Chesnay, France

[3] Zeliade Syst, F-78153 Le Chesnay, France

来源：

ANNALS OF APPLIED PROBABILITY | 2006年 / 16卷 / 02期

关键词：

superreplication; capacity; uncertain volatility model; nondominated model; stochastic integral; option pricing;

D O I：

10.1214/105051606000000169

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

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.

引用

页码：827 / 852

页数：26

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