A BSDE approach to convex risk measures for derivative securities

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dc.contributor.authorElliott, R.
dc.contributor.authorSiu, T.
dc.date.issued2012
dc.description.abstractA 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.
dc.description.statementofresponsibilityRobert J. Elliott & Tak Kuen Siu
dc.identifier.citationStochastic Analysis and Applications, 2012; 30(6):1083-1101
dc.identifier.doi10.1080/07362994.2012.727141
dc.identifier.issn0736-2994
dc.identifier.issn1532-9356
dc.identifier.urihttp://hdl.handle.net/2440/75941
dc.language.isoen
dc.publisherMarcel Dekker Inc
dc.rightsCopyright © Taylor & Francis Group, LLC
dc.source.urihttps://doi.org/10.1080/07362994.2012.727141
dc.subjectBackward stochastic differential equations, Clark-Ocone Representation, Convex risk measures, Derivative Securities, Malliavin Derivatives
dc.titleA BSDE approach to convex risk measures for derivative securities
dc.typeJournal article
pubs.publication-statusPublished

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