%0 Journal Article
%T Coherent Price Systems and Uncertainty-Neutral Valuation
%A Patrick BeiŁżner
%J Quantitative Finance
%D 2012
%I arXiv
%X We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible mutually singular probability measures. With a single probability model, essential equivalence between the absence of arbitrage and the existence of an equivalent martingale measure is a folk theorem, see Harrison and Kreps (1979). We establish a microeconomic foundation of sublinear price systems and present an extension result. In this context we introduce a prior dependent notion of marketed spaces and viable price systems. We associate this extension with a canonically altered concept of equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove the existence of such sets when volatility uncertainty is modeled by a stochastic di?erential equation, driven by Peng's G-Brownian motions.
%U http://arxiv.org/abs/1202.6632v1