{
  "id": "math/0607111",
  "version": "v1",
  "published": "2006-07-05T09:27:47.000Z",
  "updated": "2006-07-05T09:27:47.000Z",
  "title": "A theoretical framework for the pricing of contingent claims in the presence of model uncertainty",
  "authors": [
    "Laurent Denis",
    "Claude Martini"
  ],
  "comment": "Published at http://dx.doi.org/10.1214/105051606000000169 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)",
  "journal": "Annals of Applied Probability 2006, Vol. 16, No. 2, 827-852",
  "doi": "10.1214/105051606000000169",
  "categories": [
    "math.PR"
  ],
  "abstract": "The aim of this work is to evaluate the cheapest superreplication price of a general (possibly path-dependent) European contingent claim in a context where the model is uncertain. This setting is a generalization of the uncertain volatility model (UVM) introduced in by Avellaneda, Levy and Paras. The uncertainty is specified by a family of martingale probability measures which may not be dominated. We obtain a partial characterization result and a full characterization which extends Avellaneda, Levy and Paras results in the UVM case.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2006-07-05T09:27:47.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H05",
      "60G44",
      "31C15"
    ],
    "keywords": [
      "model uncertainty",
      "theoretical framework",
      "european contingent claim",
      "cheapest superreplication price",
      "uncertain volatility model"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2006math......7111D"
    }
  }
}