A theoretical framework for the pricing of contingent claims in the presence of model uncertainty

Annals of Applied Probability

Volumn 16, Issue 2, 2006, Pages 827-852

  Denis, Laurent ^a   Martini, Claude ^a,b  

^a UNIVERSITÉ D EVRY VAL D ESSONNE   (France)

^b INRIA   (France)

Author keywords

Capacity; Nondominated model; Option pricing; Stochastic integral; Superreplication; Uncertain volatility model

Indexed keywords

EID: 33746876027     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051606000000169     Document Type: Article

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