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Autor:innen: 
Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
Working Papers No. 441
Verlag: 
Bielefeld University, Institute of Mathematical Economics (IMW), Bielefeld
Zusammenfassung: 
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.
Schlagwörter: 
pricing of contingent claims
incomplete markets
volatility uncertainty
G-Brownian motion stochastic calculus
JEL: 
G13
D81
C61
Dokumentart: 
Working Paper

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