A THEORETICAL FRAMEWORK FOR THE PRICING OF CONTINGENT CLAIMS IN THE PRESENCE OF MODEL UNCERTAINTY
A THEORETICAL FRAMEWORK FOR THE PRICING OF CONTINGENT CLAIMS IN THE PRESENCE OF MODEL UNCERTAINTY
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DOI：
10.1214/105051606000000169
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发表时间：
2006-05
影响因子：
1.8
通讯作者：
L. Denis;C. Martini
中科院分区：
文献类型：
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作者：
L. Denis;C. Martini
这项工作的目的是评估最便宜的超级复制价格的一般（可能路径依赖）欧洲未定权益的模型是不确定的。这种设置是一个推广的不确定波动率模型（UVM）中介绍的Avellaneda，Levy和Paras。的不确定性是由一个家庭的鞅概率测度，可能不占主导地位。在UVM情形下，我们得到了Avellaneda，Levy和Paras结果的一个部分刻画结果和一个完全刻画结果.
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.