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Backward stochastic difference equations for dynamic convex risk measures on a binomial tree

Backward stochastic difference equations for dynamic convex risk measures on a binomial tree

Elliott, Robert J.; Siu, Tak Kuen; Cohen, Samuel N.
  • 期刊名称Journal of Applied Probability
  • 作者Elliott, Robert J.; Siu, Tak Kuen; Cohen, Samuel N.
  • 卷第52卷
  • 期第3期
  • 印刷ISSN0021-9002
  • 文件大小152.87KB
  • 发表时间2015-09
  • DOI10.1239/jap/1445543845
  • 页码771-785
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