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}, }