An ergodic BSDE risk representation in a jump-diffusion framework
Calisto Guambe, Lesedi Mabitsela and Rodwell Kufakunesu
| Year of publication: |
2021
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|---|---|
| Authors: | Guambe, Calisto ; Mabitsela, Lesedi ; Kufakunesu, Rodwell |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 3, p. 1-28
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| Subject: | ergodic BSDEs | forward entropic risk measure | Forward exponential performance | jump-diffusion | long-term maturity behavior | maturity independent risk measure | Risiko | Risk | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Messung | Measurement | Fälligkeit | Maturity | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024921500151 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012652631