{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2022,3,30]],"date-time":"2022-03-30T18:43:51Z","timestamp":1648665831916},"reference-count":22,"publisher":"Hindawi Limited","license":[{"start":{"date-parts":[[2015,1,1]],"date-time":"2015-01-01T00:00:00Z","timestamp":1420070400000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/3.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Applied Mathematics"],"published-print":{"date-parts":[[2015]]},"abstract":"<jats:p>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 bid-ask pricing American contingent claims under Knightian uncertainty, by using G-Dooby-Meyer decomposition; we construct dynamic superhedge strategies for the optimal stopping problem and prove that the value functions of the optimal stopping problems are the bid and ask prices of the American contingent claims under Knightian uncertainty. Finally, we consider a free boundary problem, prove the strong solution existence of the free boundary problem, and derive that the value function of the optimal stopping problem is equivalent to the strong solution to the free boundary problem.<\/jats:p>","DOI":"10.1155\/2015\/910809","type":"journal-article","created":{"date-parts":[[2015,8,20]],"date-time":"2015-08-20T21:04:50Z","timestamp":1440104690000},"page":"1-13","source":"Crossref","is-referenced-by-count":0,"title":["G-Doob-Meyer Decomposition and Its Applications in Bid-Ask Pricing for Derivatives under Knightian Uncertainty"],"prefix":"10.1155","volume":"2015","author":[{"given":"Wei","family":"Chen","sequence":"first","affiliation":[{"name":"School of Economics, Shandong University, Jinan 250100, China"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"98","reference":[{"key":"22","first-page":"32","volume":"6","year":"1965","journal-title":"Industrial Management Review"},{"key":"2","doi-asserted-by":"publisher","DOI":"10.1007\/bf00046576"},{"key":"1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"12","doi-asserted-by":"publisher","DOI":"10.1007\/bf01448358"},{"key":"13","doi-asserted-by":"publisher","DOI":"10.1007\/BFb0083990"},{"key":"14","doi-asserted-by":"crossref","first-page":"57","DOI":"10.1080\/17442509108833675","volume":"34","year":"1991","journal-title":"Stochastics and Stochastic Reports"},{"key":"5","year":"1953"},{"key":"20","doi-asserted-by":"crossref","first-page":"193","DOI":"10.1215\/ijm\/1255632318","volume":"6","year":"1962","journal-title":"Illinois Journal of Mathematics"},{"key":"21","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1215\/ijm\/1255637477","volume":"7","year":"1963","journal-title":"Illinois Journal of Mathematics"},{"key":"16","doi-asserted-by":"publisher","DOI":"10.1007\/BF01191909"},{"key":"8","doi-asserted-by":"publisher","DOI":"10.1007\/s007800050010"},{"key":"15","year":"1921"},{"key":"24","doi-asserted-by":"publisher","DOI":"10.1007\/s11425-009-0121-8"},{"key":"6","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht018"},{"key":"28","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmateco.2014.05.008"},{"key":"9","series-title":"Pure and Applied Mathematics","year":"1982"},{"key":"19","doi-asserted-by":"publisher","DOI":"10.1016\/j.spa.2011.03.009"},{"key":"27","doi-asserted-by":"publisher","DOI":"10.1007\/s11425-010-4162-9"},{"key":"18","doi-asserted-by":"publisher","DOI":"10.1080\/03605308308820301"},{"key":"17","year":"1980"},{"key":"23","series-title":"ISI Lectures Notes","volume":"9","year":"1981"},{"key":"7","doi-asserted-by":"publisher","DOI":"10.1098\/rspa.2007.0090"}],"container-title":["Journal of Applied Mathematics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/downloads.hindawi.com\/journals\/jam\/2015\/910809.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/jam\/2015\/910809.xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/jam\/2015\/910809.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,8,29]],"date-time":"2019-08-29T17:00:02Z","timestamp":1567098002000},"score":1,"resource":{"primary":{"URL":"http:\/\/www.hindawi.com\/journals\/jam\/2015\/910809\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2015]]},"references-count":22,"alternative-id":["910809","910809"],"URL":"https:\/\/doi.org\/10.1155\/2015\/910809","relation":{},"ISSN":["1110-757X","1687-0042"],"issn-type":[{"value":"1110-757X","type":"print"},{"value":"1687-0042","type":"electronic"}],"subject":[],"published":{"date-parts":[[2015]]}}}