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
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.