A BSDE Approach to Convex Risk Measures for Derivative Securities
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Publication:3145066
DOI10.1080/07362994.2012.727141zbMath1254.91723OpenAlexW1990067442MaRDI QIDQ3145066
Robert J. Elliott, Tak Kuen Siu
Publication date: 13 December 2012
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2012.727141
backward stochastic differential equationsconvex risk measuresderivative securitiesMalliavin derivativesClark-Ocone representation
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- The Malliavin Calculus and Related Topics
- COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
- Backward Stochastic Differential Equations in Finance
- A PDE approach to risk measures of derivatives
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