Financial markets with volatility uncertainty

DOI10.1016/j.jmateco.2014.05.008zbMath1305.91232arXiv1012.1535OpenAlexW2257767690MaRDI QIDQ406259

Jörg Vorbrink

Publication date: 8 September 2014

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.1535

zbMATH Keywords

incomplete marketsvolatility uncertainty\(G\)-Brownian motion stochastic calculuspricing of contingent claims

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Related Items (32)

$\alpha$-Hypergeometric Uncertain Volatility Models and their Connection to 2BSDEs ⋮ Generalized Wasserstein distance and weak convergence of sublinear expectations ⋮ Fatou closedness under model uncertainty ⋮ Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty ⋮ Robust valuation, arbitrage ambiguity and profit \& loss analysis ⋮ Upper bounds for ruin probabilities under model uncertainty ⋮ Strict comparison theorems under sublinear expectations ⋮ Second order reflected backward stochastic differential equations ⋮ Reduced-form setting under model uncertainty with non-linear affine intensities ⋮ Unnamed Item ⋮ Markov chains under nonlinear expectation ⋮ Convex monotone semigroups on lattices of continuous functions ⋮ Robust mean-variance hedging via \(G\)-expectation ⋮ Financial markets with volatility uncertainty ⋮ Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming ⋮ A generalized stochastic process: fractional \(G\)-Brownian motion ⋮ Multi-dimensional mean-reflected BSDEs driven by \(G\)-Brownian motion with time-varying non-Lipschitz coefficients ⋮ Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion ⋮ Optimal arbitrage under model uncertainty ⋮ Duality and General Equilibrium Theory Under Knightian Uncertainty ⋮ Quantifying ambiguity bounds via time-consistent sets of indistinguishable models ⋮ An interval of no-arbitrage prices in financial markets with volatility uncertainty ⋮ The \(CEV\) model and its application to financial markets with volatility uncertainty ⋮ Robust bootstrap forecast densities for GARCH returns and volatilities ⋮ BSDEs with mean reflection driven by \(G\)-Brownian motion ⋮ Good deal hedging and valuation under combined uncertainty about drift and volatility ⋮ Affine processes under parameter uncertainty ⋮ Vulnerable options pricing under uncertain volatility model ⋮ \( G\)-expectation approach to stochastic ordering ⋮ G-Doob-Meyer decomposition and its applications in bid-ask pricing for derivatives under Knightian uncertainty ⋮ Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems ⋮ Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion

Cites Work

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