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Market delay and $G$-expectations

By Yan Dolinsky

Also appears in collection : Advances in stochastic analysis for risk modeling / Avancées en analyse stochastique pour la modélisation des risques

We study duality and asymptotic of super–replication with market delay. Our main result is the link between scaling limits of delayed markets and the $G$-expectation of Peng.

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Citation data

  • DOI 10.24350/CIRM.V.19243803
  • Cite this video Dolinsky, Yan (14/11/2017). Market delay and $G$-expectations. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19243803
  • URL https://dx.doi.org/10.24350/CIRM.V.19243803

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