A Backward Dual Representation for the Quantile Hedging of Bermudan Options
Date
2016Link to item file
https://arxiv.org/abs/1409.8219v2Dewey
Probabilités et mathématiques appliquéesSujet
Bermudan options; quantile hedging; stochastic target problemsJournal issue
SIAM Journal on Financial MathematicsVolume
7Number
1Publication date
2016Article pages
215-235Publisher
Society for Industrial and Applied MathematicsCollections
Metadata
Show full item recordAuthor
Bouchard, Bruno
Bouveret, Géraldine
Chassagneux, Jean-François