2014/05/09 by Belomestny, Denis, Kraetschmer, Volker
#60G40 #91G80 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)
paper · doi:10.48550/arxiv.1405.2240
In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel representation for the solution of the optimal stopping problem. In particular, we generalise the additive dual representation of Rogers (2002) to the case of optimal stopping under uncertainty. Finally, we develop several Monte Carlo algorithms and illustrate their power for optimal stopping under Average Value at Risk.