A converse comparison theorem for backward stochastic differential equations with jumps
This paper establishes a converse comparison theorem for real-valued decoupled forward backward stochastic differential equations with jumps.
math.PR↗
arXiv subjects
Xavier De Scheemaekere
Publications and source records attributed to Xavier De Scheemaekere.
Upper and lower bounds on dynamic risk indifference prices in incomplete markets
In the context of an incomplete market with a Brownian filtration and a fixed finite time horizon, this paper proves that for general dynamic convex risk measures, the buyer's and seller's risk indifference prices of a contingent claim are bounded from below and above by the dynamic lower and upper hedging prices, respectively.
q-fin.PR↗