The Annals of Applied Probability · 2006 · 354 citations · 9 references
Cheapest Superreplication PriceVolatility ModelingEngineeringMarket DesignFinancial MathematicsPricing PolicyAsset PricingMartingale Probability MeasuresUncertainty QuantificationEconomic AnalysisContingent ClaimsDecision TheoryStatisticsUncertain Volatility ModelOption PricingEconomicsDynamic PricingTheoretical FrameworkDerivative PricingProbability TheoryFinanceMultivariate Stochastic VolatilityBusinessNonmarket ValuationUncertainty ManagementModel Uncertainty
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.
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Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 8.9K citations
Empirical Finance, Financial Risk Management, Risk Metric +22