摘要翻译：
我们研究了由不确定波动引起的模型风险下的金融市场。为此，我们考虑一个具有波动性和不确定性的金融市场。为了有一个数学上一致的框架，我们使用了最近由Peng(2007)引入的g-期望及其相应的g-布朗运动的概念。我们的金融市场由一个无风险资产和一个有风险股票组成，其价格过程采用几何g-布朗运动模型。我们将套利的概念适应于这种更复杂的情况，并考虑了股票价格的动态变化，从而排除了套利机会。由于波动性的不确定性，市场不再完整。我们建立了一般欧式未定权益的无套利价格区间，并在马尔可夫环境下导出了显式结果。
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英文标题：
《Financial markets with volatility uncertainty》
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作者：
Joerg Vorbrink
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最新提交年份：
2010
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分类信息：

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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英文摘要：
  We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brownian motion recently introduced by Peng (2007). Our financial market consists of a riskless asset and a risky stock with price process modeled by a geometric G-Brownian motion. We adapt the notion of arbitrage to this more complex situation and consider stock price dynamics which exclude arbitrage opportunities. Due to volatility uncertainty the market is not complete any more. We establish the interval of no-arbitrage prices for general European contingent claims and deduce explicit results in a Markovian setting.
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PDF链接：
https://arxiv.org/pdf/1012.1535