Superreplication under volatility uncertainty for measurable claims

Electronic Journal of Probability

Volumn 18, Issue , 2013, Pages

  Neufeld, Ariel ^a   Nutz, Marcel ^b  

^a ETH ZURICH   (Switzerland)

^b Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

Nonlinear expectation; Superreplication; Volatility uncertainty

Indexed keywords

EID: 84876220890     PISSN: None     EISSN: 10836489     Source Type: Journal    
DOI: 10.1214/EJP.v18-2358     Document Type: Article

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