Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/07362994.2013.830459
Reference14 articles.
1. Coherent Measures of Risk
2. Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices
3. A PDE approach to risk measures of derivatives
4. COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
5. Bayesian Risk Measures for Derivatives via Random Esscher Transform
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1. Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model;Discrete & Continuous Dynamical Systems - B;2017
2. A functional Itô’s calculus approach to convex risk measures with jump diffusion;European Journal of Operational Research;2016-05
3. Backward stochastic difference equations for dynamic convex risk measures on a binomial tree;Journal of Applied Probability;2015-09
4. Backward stochastic difference equations for dynamic convex risk measures on a binomial tree;Journal of Applied Probability;2015-09
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