TY  - GEN
AB  - We investigate financial markets under model risk caused by uncertain
volatilities. For this purpose we consider a financial market that
features volatility uncertainty. To have a mathematical consistent
framework we use the notion of G–expectation and its corresponding
G–Brownian motion recently introduced by Peng (2007). Our financial
market consists of a riskless asset and a risky stock with price
process modeled by a geometric G–Brownian motion. We adapt the
notion of arbitrage to this more complex situation and consider stock
price dynamics which exclude arbitrage opportunities. Due to volatility
uncertainty the market is not complete any more. We establish the
interval of no–arbitrage prices for general European contingent claims
and deduce explicit results in a Markovian setting.
DA  - 2010
KW  - Pricing of contingent claims
KW  - incomplete markets
KW  - volatility uncertainty
KW  - G–Brownian motion stochastic calculus
LA  - eng
PY  - 2010
SN  - 0931-6558
TI  - Financial markets with volatility uncertainty
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29093109
Y2  - 2024-11-22T04:33:08
ER  -