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arXiv · 1303.4274

A note on pricing of contingent claims under G-expectation

Mingshang Hu·Shaolin Ji
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Abstract

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.

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Mingshang Hu, Shaolin Ji. 2013-03-18. A note on pricing of contingent claims under G-expectation. https://arxiv.org/abs/1303.4274

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