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Backward Stochastic Difference Equations for Dynamic Convex Risk Measures on a Binomial Tree

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Author
Elliott, Robert J.
Siu, Tak Kuen
Cohen, Samuel N.
Accessioned
2016-01-04T18:55:21Z
Available
2016-01-04T18:55:21Z
Issued
2014-08-04
Subject
Probability Theory
Stochastic Difference Equations
Binomial Theorem
Discrete systems
non linear theories
Type
journal article
Metadata
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Abstract
Using backward stochastic difference equations (BSDEs), this paper studies dynamic convex risk measures for risky positions in a simple discrete-time, binomial tree model. A relationship between BSDEs and dynamic convex risk measures is developed using nonlinear expectations. The time consistency of dynamic convex risk measures is discussed in the binomial tree framework. A relationship between prices and risks is also established. Two particular cases of dynamic convex risk measures, namely risk measures with stochastic distortions and entropic risk measures, and their mathematical properties are discussed.
Refereed
Yes
author can archive pre-print (ie pre-refereeing). Link to publisher's version http://ezproxy.lib.ucalgary.ca/login?url=http://search.ebscohost.com/login.aspx?direct=true&db=bth&AN=110520883&site=ehost-live
 
Citation
ELLIOTT, R. J., TAK KUEN, S., & COHEN, S. N. (2015). BACKWARD STOCHASTIC DIFFERENCE EQUATIONS FOR DYNAMIC CONVEX RISK MEASURES ON A BINOMIAL TREE. Journal Of Applied Probability, 52(3), 771-785.
Corporate
University of Calgary
Faculty
School of Mathematical Sciences & Haskayne School of Business
Institution
University of Adelaide & University of Calgary
Url
http://www.appliedprobability.org
Publisher
Applied Probability Trust
Doi
http://dx.doi.org/10.11575/PRISM/34063
Uri
http://hdl.handle.net/1880/51038
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  • Haskayne School of Business Research & Publications

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