ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL

Publisher: John Wiley & Sons Inc

E-ISSN: 1467-9965|25|2|258-287

ISSN: 0960-1627

Source: MATHEMATICAL FINANCE, Vol.25, Iss.2, 2015-04, pp. : 258-287

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract