IJPAM: Volume 103, No. 1 (2015)
FOR AMERICAN CONTINGENT CLAIMS
IN INCOMPLETE MARKETS
Department of Computer Sciences
University of Verona
Strada le Grazie 15, 37134, Verona, ITALY
Abstract. In this paper we establish an arbitrage-free prices interval for in incomplete financial markets. Such an incompleteness derives from considering uncertain volatility. We use the notion of -expectation, under which the corresponding canonical path is a -, and the related stochastic calculus on suitable stopping time intervals, in a standard financial market characterized by a risk-less asset and one risky stock.
Received: May 26, 2015
AMS Subject Classification: 60G40, 60G44, 91G20, 91G80, 91B25
Key Words and Phrases: American contingent claim, -expectation, pricing, uncertain volatility
Download paper from here.
DOI: 10.12732/ijpam.v103i1.11 How to cite this paper?
Source: International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Pages: 133 - 153