Papers
Topics
Authors
Recent
Gemini 2.5 Flash
Gemini 2.5 Flash
157 tokens/sec
GPT-4o
8 tokens/sec
Gemini 2.5 Pro Pro
46 tokens/sec
o3 Pro
4 tokens/sec
GPT-4.1 Pro
38 tokens/sec
DeepSeek R1 via Azure Pro
28 tokens/sec
2000 character limit reached

G-Doob-Meyer Decomposition and its Application in Bid-Ask Pricing for American Contingent Claim Under Knightian Uncertainty (1401.0677v1)

Published 31 Dec 2013 in math.PR and q-fin.PR

Abstract: The target of this paper is to establish the bid-ask pricing frame work for the American contingent claims against risky assets with G-asset price systems (see \cite{Chen2013b}) on the financial market under Knight uncertainty. First, we prove G-Dooby-Meyer decomposition for G-supermartingale. Furthermore, we consider bid-ask pricing American contingent claims under Knight uncertain, by using G-Dooby-Meyer decomposition, we construct dynamic superhedge stragies for the optimal stopping problem, and prove that the value functions of the optimal stopping problems are the bid and ask prices of the American contingent claims under Knight uncertain. Finally, we consider a free boundary problem, prove the strong solution existence of the free boundary problem, and derive that the value function of the optimal stopping problem is equivalent to the strong solution to the free boundary problem.

Summary

We haven't generated a summary for this paper yet.