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- W1990067442 abstract "A backward stochastic differential equation (BSDE) approach is used to evaluate convex risk measures for unhedged positions of derivative securities in a continuous-time economy. The convex risk measure is represented as the solution of a BSDE. We use the Clark-Ocone representation result together with Malliavin calculus to identify the integrand in the martingale representation associated with the BSDE. In the Markov case, we relate the BSDE solution to a partial differential equation solution for convex risk measure evaluation." @default.
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- W1990067442 date "2012-11-01" @default.
- W1990067442 modified "2023-09-23" @default.
- W1990067442 title "A BSDE Approach to Convex Risk Measures for Derivative Securities" @default.
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- W1990067442 doi "https://doi.org/10.1080/07362994.2012.727141" @default.
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