英文标题：
《Market Delay and G-expectations》
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作者：
Yan Dolinsky and Jonathan Zouari
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最新提交年份：
2018
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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 $[0,\\sigma\\sqrt{H+1}]$.
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中文摘要：
我们研究了延迟过滤市场中未定权益的超复制问题。本文的第一个结果表明，在具有常数延迟的Black-Scholes模型中，超级复制价格昂贵得令人望而却步，导致了微不足道的购买和持有策略。我们的第二个结果表明，具有固定延迟次数$H$的二项模型的超级复制价格的标度极限等于具有波动不确定性区间$[0，sigma\\sqrt{H+1}]$的$G$预期。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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