市场延迟和G预期
Market Delay and G-expectations
摘要：
研究了具有时滞过滤的市场中未定权益的超复制问题。本文的第一个结果表明，在具有常数时滞的布莱克-斯科尔斯模型中，超级复制价格是非常昂贵的，并导致平凡的购买和持有策略。我们的第二个结果是，具有固定延迟次数$H$的二项模型的超复制价格的标度极限等于具有波动不确定性区间的$G$-期望值$[0,σ\sqrt{H+1}]$。
英文摘要：
We study super-replication of contingent claims in markets with delayed filtration. The first result in this paper reveals that in the Black--Scholes model with constant delay the super-replication price is prohibitively costly and leads to trivial buy-and-hold strategies. Our second result says that the scaling limit of super--replication prices for binomial models with a fixed number of times of delay $H$ is equal to the $G$--expectation with volatility uncertainty interval $[0,σ\sqrt{H+1}]$.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
