An ergodic BSDE approach to forward entropic risk measures: Representation and large-maturity behavior

Wing Fung Chong, Ying Hu, Gechun Liang, Thaleia Zariphopoulou

Research output: Contribution to journalArticlepeer-review

10 Citations (Scopus)
3 Downloads (Pure)

Abstract

Using elements from the theory of ergodic backward stochastic differential equations (BSDEs), we study the behavior of forward entropic risk measures in stochastic factor models. We derive general representation results (via both BSDEs and convex duality) and examine their asymptotic behavior for risk positions of large maturities. We also compare them with their classical counterparts and provide a parity result.
Original languageEnglish
Pages (from-to)239–273
Number of pages35
JournalFinance and Stochastics
Volume23
Issue number1
Early online date12 Dec 2018
DOIs
Publication statusPublished - 15 Jan 2019

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