英文标题：
《G-Doob-Meyer Decomposition and its Application in Bid-Ask Pricing for
American Contingent Claim Under Knightian Uncertainty》
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作者：
Wei Chen
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最新提交年份：
2013
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英文摘要：
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.
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中文摘要：
本文的目标是在不确定性条件下，建立金融市场上具有G-资产价格系统（见Chen2013b）的美国风险资产未定权益的买卖定价框架。首先，我们证明了G-超鞅的G-Dooby-Meyer分解。此外，我们考虑了骑士不确定条件下美式未定权益的买卖定价问题，利用G-Dooby-Meyer分解构造了最优停止问题的动态超边策略，并证明了最优停止问题的价值函数是骑士不确定条件下美式未定权益的买卖价格。最后，我们考虑了一个自由边界问题，证明了自由边界问题强解的存在性，并导出了最优停止问题的值函数等价于自由边界问题的强解。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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