Randomized stopping times and coherent multiperiod risk measures
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Publication:3017918
DOI10.1080/17442508.2010.523467zbMath1217.91090OpenAlexW1990209519MaRDI QIDQ3017918
Publication date: 20 July 2011
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2010.523467
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Cites Work
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- Dynamic coherent risk measures
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- Coherent and convex monetary risk measures for unbounded càdlàg processes.
- Randomized Stopping Times and American Option Pricing with Transaction Costs
- Coherent Measures of Risk
- Liquidity Risk with Coherent Risk Measures
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
- Shuffling Cards and Stopping Times
- Randomized Stopping Times in Dynkin Games
- Pareto Equilibria with coherent measures of risk
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