Market delay and G-expectations

Yan Dolinsky; Jonathan Zouari

doi:10.1016/j.spa.2019.03.007

Market delay and G-expectations

Yan Dolinsky, Jonathan Zouari

BA Business Department

The Hebrew University of Jerusalem

Research output: Contribution to journal › Article › peer-review

Abstract

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,σH+1].

Original language	English
Pages (from-to)	694-707
Number of pages	14
Journal	Stochastic Processes and their Applications
Volume	130
Issue number	2
DOIs	https://doi.org/10.1016/j.spa.2019.03.007
State	Published - Feb 2020

Keywords

Duality
G-expectation
Market delay
Super-replication

All Science Journal Classification (ASJC) codes

Statistics and Probability
Modelling and Simulation
Applied Mathematics

Access to Document

10.1016/j.spa.2019.03.007

Cite this

@article{b4e97def177e4889ae2f5dfc5d92297c,

title = "Market delay and G-expectations",

abstract = "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,σH+1].",

keywords = "Duality, G-expectation, Market delay, Super-replication",

author = "Yan Dolinsky and Jonathan Zouari",

note = "Publisher Copyright: {\textcopyright} 2019 Elsevier B.V.",

year = "2020",

month = feb,

doi = "10.1016/j.spa.2019.03.007",

language = "الإنجليزيّة",

volume = "130",

pages = "694--707",

journal = "Stochastic Processes and their Applications",

issn = "0304-4149",

publisher = "Elsevier B.V.",

number = "2",

}

TY - JOUR

T1 - Market delay and G-expectations

AU - Dolinsky, Yan

AU - Zouari, Jonathan

PY - 2020/2

Y1 - 2020/2

N2 - 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,σH+1].

AB - 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,σH+1].

KW - Duality

KW - G-expectation

KW - Market delay

KW - Super-replication

UR - http://www.scopus.com/inward/record.url?scp=85063420311&partnerID=8YFLogxK

U2 - 10.1016/j.spa.2019.03.007

DO - 10.1016/j.spa.2019.03.007

M3 - مقالة

SN - 0304-4149

VL - 130

SP - 694

EP - 707

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 2

ER -

Market delay and G-expectations

Abstract

Keywords

All Science Journal Classification (ASJC) codes

Access to Document

Other files and links

Fingerprint

Cite this