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

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dc.contributor.authorElliott, Robert J.
dc.contributor.authorSiu, Tak Kuen
dc.contributor.authorCohen, Samuel N.
dc.date.accessioned2016-01-04T18:55:21Z
dc.date.available2016-01-04T18:55:21Z
dc.date.issued2014-08-04
dc.descriptionauthor 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-liveen_US
dc.description.abstractUsing 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.en_US
dc.description.refereedYesen_US
dc.identifier.citationELLIOTT, 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.en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/34063
dc.identifier.issn0021-9002
dc.identifier.urihttp://hdl.handle.net/1880/51038
dc.language.isoenen_US
dc.publisherApplied Probability Trusten_US
dc.publisher.corporateUniversity of Calgary
dc.publisher.facultySchool of Mathematical Sciences & Haskayne School of Businessen_US
dc.publisher.institutionUniversity of Adelaide & University of Calgaryen_US
dc.publisher.urlhttp://www.appliedprobability.orgen_US
dc.subjectProbability Theoryen_US
dc.subjectStochastic Difference Equationsen_US
dc.subjectBinomial Theoremen_US
dc.subjectDiscrete systemsen_US
dc.subjectnon linear theoriesen_US
dc.titleBackward Stochastic Difference Equations for Dynamic Convex Risk Measures on a Binomial Treeen_US
dc.typejournal article
thesis.degree.disciplineFinance
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