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- W3122274332 abstract "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,σH+1]." @default.
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- W3122274332 date "2020-02-01" @default.
- W3122274332 modified "2023-09-25" @default.
- W3122274332 title "Market delay and G-expectations" @default.
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- W3122274332 doi "https://doi.org/10.1016/j.spa.2019.03.007" @default.
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