Superhedging and Dynamic Risk Measures under Volatility Uncertainty - Research Collection

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Author

Nutz, Marcel

Soner, H. Mete

Date

2012

Type

Journal Article

Citations

Cited 18 times in Web of Science

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1137/100814925

Journal / series

SIAM Journal on Control and Optimization

Volume

50(4)

Pages / Article No.

2065 - 2089

Publisher

SIAM

Subject

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

Organisational unit

03844 - Soner, Mete

Notes

.

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Citations

Cited 18 times in Web of Science

ETH Bibliography

yes

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