An ergodic BSDE risk representation in a jump-diffusion framework (Q5010067)
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scientific article; zbMATH DE number 7384596
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| English | An ergodic BSDE risk representation in a jump-diffusion framework |
scientific article; zbMATH DE number 7384596 |
Statements
AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK (English)
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24 August 2021
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forward exponential performance
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maturity independent risk measure
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forward entropic risk measure
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jump-diffusion
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ergodic BSDEs
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long-term maturity behavior
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0.8778842091560364
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0.8272314071655273
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0.7690760493278503
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0.7620970606803894
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0.7570657134056091
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