We study the problem of pricing contingent claims in the presence of uncertainty about the timing and the size of a jump in the price of the underlying. We characterize the price of the claim as the minimal solution of a constrained BSDE and derive a pricing PDE in the special case of a...

We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset. Rather than taking all models from a prespecified class equally seriously, we penalise less plausible ones based on their "distance" to a reference local volatility model. In...