Market delay and [formula omitted]-expectations.

We study super-replication of contingent claims in markets with delayed filtration. The first result in this paper reveals that in the Black–Scholes model with constant delay the super-replication price is prohibitively costly and leads to trivial buy-and-hold strategies. Our second result says that the scaling limit of super-replication prices for binomial models with a fixed number of times of delay H is equal to the G -expectation with volatility uncertainty interval [ 0 , σ H + 1 ]. [ABSTRACT FROM AUTHOR]