Marcel Nutz, H. Mete Soner. Superhedging and Dynamic Risk Measures under Volatility Uncertainty. SIAM J. Control and Optimization, 50(4):2065-2089, 2012. [doi]
@article{NutzS12,
title = {Superhedging and Dynamic Risk Measures under Volatility Uncertainty},
author = {Marcel Nutz and H. Mete Soner},
year = {2012},
doi = {10.1137/100814925},
url = {http://dx.doi.org/10.1137/100814925},
researchr = {https://researchr.org/publication/NutzS12},
cites = {0},
citedby = {0},
journal = {SIAM J. Control and Optimization},
volume = {50},
number = {4},
pages = {2065-2089},
}