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We study super-replication of contingent claims in markets with delayedfiltration. The first result in this paper reveals that in the Black--Scholesmodel with constant delay the super-replication price is prohibitively costlyand leads to trivial buy-and-hold strategies. Our second result says that thescaling limit of super--replication prices for binomial models with a fixednumber of times of delay $H$ is equal to the $G$--expectation with volatilityuncertainty interval $[0,\sigma\sqrt{H+1}]$.

Market Delay and G-expectations