A THEORETICAL FRAMEWORK FOR THE PRICING OF CONTINGENT CLAIMS IN THE PRESENCE OF MODEL UNCERTAINTY By Laurent Denis and Claude Martini

@inproceedings{Martini2008ATF,
  title={A THEORETICAL FRAMEWORK FOR THE PRICING OF CONTINGENT CLAIMS IN THE PRESENCE OF MODEL UNCERTAINTY By Laurent Denis and Claude Martini},
  author={Claude Martini},
  year={2008}
}
The aim of this work is to evaluate the cheapest superreplication price of a general (possibly path-dependent) European contingent claim in a context where the model is uncertain. This setting is a generalization of the uncertain volatility model (UVM) introduced in by Avellaneda, Levy and Paras. The uncertainty is specified by a family of martingale probability measures which may not be dominated. We obtain a partial characterization result and a full characterization which extends Avellaneda… CONTINUE READING
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