An ergodic BSDE risk representation in a jump-diffusion framework
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
|
Subject: | ergodic BSDEs | forward entropic risk measure | Forward exponential performance | jump-diffusion | long-term maturity behavior | maturity independent risk measure | Risiko | Risk | Risikomaß | Risk measure | Messung | Measurement | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Fälligkeit | Maturity |
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