COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS

DOI10.1111/j.1467-9965.2005.00252.xzbMath1107.91059OpenAlexW3123094732MaRDI QIDQ5700133

Berend Roorda, Jacob Christiaan Engwerda, Johannes M. Schumacher

Publication date: 27 October 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://research.utwente.nl/en/publications/coherent-acceptability-measures-in-multiperiod-models(f3c57254-e2ed-4260-8288-5343bfd2989d).html

zbMATH Keywords

robustness option pricing incomplete markets dynamic consistency

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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