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A note on pricing of contingent claims under G-expectation by Hu, Mingshang; Ji, Shaolin is a scholarly article available to read on EtoBox.

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In this paper, we study the pricing of contingent claims under G-expectation. In order to accomodate volatility uncertainty, the price of the risky security is supposed to governed by a general linear stochastic differential equation (SDE) driven by G-Brownian motion. Utilizing the recently developed results of Backward SDE driven by G-Brownian motion, we obtain the superhedging and suberhedging prices of a given contingent claim. Explicit results in the Markovian case are also derived.

Author

Hu, Mingshang; Ji, Shaolin

Published

2013

Language

EN