Superhedging and Dynamic Risk Measures under Volatility Uncertainty
Superhedging and Dynamic Risk Measures under Volatility Uncertainty
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. We derive a càdlàg nonlinear martingale which is also the value process of a superhedging problem. The superhedging strategy is obtained from a representation similar …