Documents Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications

Proceedings of the International Congress of Mathematicians Hyderabad, India, 2010 Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications…

Documents Abstract The volatility ambiguity is a major model of risk in Black-Scholes pricing formula. We...

Abstract The volatility ambiguity is a major model of risk in Black-Scholes pricing formula. We will study, from the point of view of a supervising angent, how to provide…