Superreplication under Volatility Uncertainty for Measurable Claims

TL;DR

This paper develops a duality formula for superreplication prices under volatility uncertainty, notably including cases like random G-expectation, without requiring the claims to be quasi-continuous.

Contribution

It introduces a duality formula for superreplication in a volatility uncertainty setting that accommodates measurable claims without quasi-continuity assumptions.

Findings

Established duality formula for superreplication prices

Included the example of random G-expectation

Extended results to measurable claims without quasi-continuity

Abstract

We establish the duality-formula for the superreplication price in a setting of volatility uncertainty which includes the example of "random G-expectation." In contrast to previous results, the contingent claim is not assumed to be quasi-continuous.