A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
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Publication:997952
DOI10.1214/105051606000000169zbMath1142.91034arXivmath/0607111OpenAlexW2006080424MaRDI QIDQ997952
Publication date: 8 August 2007
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0607111
capacitysuperreplicationoption pricingstochastic integraluncertain volatility modelnondominated model
Martingales with continuous parameter (60G44) Probabilistic potential theory (60J45) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Potentials and capacities on other spaces (31C15)
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