{
  "id": "1303.4274",
  "version": "v1",
  "published": "2013-03-18T14:58:37.000Z",
  "updated": "2013-03-18T14:58:37.000Z",
  "title": "A note on pricing of contingent claims under G-expectation",
  "authors": [
    "Mingshang Hu",
    "Shaolin Ji"
  ],
  "comment": "15 pages. arXiv admin note: substantial text overlap with arXiv:1212.5403, arXiv:1206.5889",
  "categories": [
    "math.PR",
    "q-fin.PR"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2013-03-18T14:58:37.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H30",
      "91G20"
    ],
    "keywords": [
      "contingent claim",
      "g-expectation",
      "general linear stochastic differential equation",
      "g-brownian motion",
      "accomodate volatility uncertainty"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 15,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2013arXiv1303.4274H"
    }
  }
}