Superhedging and dynamic risk measures under volatility uncertainty

SIAM Journal on Control and Optimization

Volumn 50, Issue 4, 2012, Pages 2065-2089

  Nutz, Marcel ^a   Soner, H Mete ^b,c  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b ETH ZURICH   (Switzerland)

^c SWISS FINANCE INSTITUTE   (Switzerland)

Author keywords

G expectation; Nonlinear martingale; Replication; Risk measure; Second order BSDE; Superhedging; Time consistency; Volatility uncertainty

Indexed keywords

G-EXPECTATION; NONLINEAR MARTINGALE; REPLICATION; RISK MEASURES; SECOND ORDERS; SUPERHEDGING; TIME CONSISTENCY; VOLATILITY UNCERTAINTY;

MATHEMATICAL TECHNIQUES; OPTIMIZATION;

HEALTH HAZARDS;

EID: 84866348455     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/100814925     Document Type: Article

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