Robust utility maximization in nondominated models with 2BSDE : the uncertain volatility model
Anis Matoussi; Dylan Possamaï; Chao Zhou
| Year of publication: |
2015
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| Authors: | Matoussi, Anis ; Possamaï, Dylan ; Zhou, Chao |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 25.2015, 2, p. 258-287
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| Subject: | second-order backward stochastic differential equation | quadratic growth | robust utility maximization | volatility uncertainty | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming | Robustes Verfahren | Robust statistics | Risiko | Risk | Analysis | Mathematical analysis |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011350647