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 G-expectation, under which the corresponding canonical path is a G-Browian motion, 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.
AN INTERVAL OF NO-ARBITRAGE PRICES FOR AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS
DI PERSIO, Luca
;Oliva, Immacolata
2015-01-01
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 G-expectation, under which the corresponding canonical path is a G-Browian motion, 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.
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