In this paper we establish an arbitrage-free prices interval for American contingent claims in incomplete financial markets. Such an incom- pleteness derives from considering uncertain volatility. We use the notion of G-expectation, under which the corresponding canonical path is a G-Brownian Motion, and the related Itˆo 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 / Luca Di, Persio; Oliva, Immacolata. - In: INTERNATIONAL JOURNAL OF PURE AND APPLIED MATHEMATICS. - ISSN 1311-8080. - 103:1(2015), pp. 133-153.
An interval of no-arbitrage prices for American contingent claims in incomplete markets
OLIVA, IMMACOLATA
2015
Abstract
In this paper we establish an arbitrage-free prices interval for American contingent claims in incomplete financial markets. Such an incom- pleteness derives from considering uncertain volatility. We use the notion of G-expectation, under which the corresponding canonical path is a G-Brownian Motion, and the related Itˆo stochastic calculus on suitable stopping time intervals, in a standard financial market characterized by a risk-less asset and one risky stock| File | Dimensione | Formato | |
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