New study revolutionizes simulation methods for uncertain contingent claims.
The article introduces a new type of central limit theorem called the quasi sure central limit theorem for non-additive probabilities. This theorem extends the classical central limit theorem to cases where probabilities are not additive. The researchers also establish a strong law of large numbers for non-additive probabilities without the assumption of independent identically distributed random variables. These findings can be used as a simulation method for contingent claims with uncertain distributions.