Table of Links
2. Financial Market Model and Worst-Case Optimization Problem
3. Solution to the Post-Crash Problem
4. Solution to the Pre-Crash Problem
5. A BSDE Characterization of Indifferences Strategies
Acknowledgments and References
Appendix A. Proofs from Section 3
Appendix B. Proofs of BASDE Results from Section 5
Appendix C. Proofs of (CIR) Results from Section 6
Appendix A. Proofs from Section 3
The same works for the derivative in direction σ,
Authors:
(1) Sascha Desmettre;
(2) Sebastian Merkel;
(3) Annalena Mickel;
(4) Alexander Steinicke.
This paper is available on arxiv under CC BY 4.0 DEED license.