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Superhedging and Dynamic Risk Measures Under Volatility Uncertainty · Study

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PreprintSuperhedging and Dynamic Risk Measures Under Volatility Uncertainty

Marcel Nutz2011

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Preprintgreen2011

Superhedging and Dynamic Risk Measures Under Volatility Uncertainty

Marcel Nutz · Halil Mete Soner

27 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Risk and Portfolio Optimization Fuzzy Systems and Optimization

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References

1999Coherent Measures of Risk 2002Stochastic Finance: An Introduction in Discrete Time 2004Stochastic Finance 1995Pricing and hedging derivative securities in markets with uncertain volatilities 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market 2007G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type 2019Nonlinear Expectations and Stochastic Calculus under Uncertainty 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths

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Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations27

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1739781

openalex_workW2145186258

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