Convex risk measures: a selection of properties and its applications

zbMath1314.91214MaRDI QIDQ740950

Leonel Pérez Hernández, Erick Treviño Aguilar

Publication date: 9 September 2014

Published in: Boletín de la Sociedad Matemática Mexicana. Third Series (Search for Journal in Brave)

zbMATH Keywords

Lévy processesAmerican optionsconvex risk measurestime consistencyminimal penalty functions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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