G-Doob-Meyer Decomposition and Its Applications in Bid-Ask Pricing for Derivatives under Knightian Uncertainty
The target of this paper is to establish the bid-ask pricing framework for the American contingent claims against risky assets with G-asset price systems on the financial market under Knightian uncertainty. First, we prove G-Dooby-Meyer decomposition for G-supermartingale. Furthermore, we consider b...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2015-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2015/910809 |
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