• français
    • English
  • English 
    • français
    • English
  • Login
JavaScript is disabled for your browser. Some features of this site may not work without it.
BIRD Home

Browse

This CollectionBy Issue DateAuthorsTitlesSubjectsJournals BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesSubjectsJournals

My Account

Login

Statistics

View Usage Statistics

A Backward Dual Representation for the Quantile Hedging of Bermudan Options

Thumbnail
Date
2016
Link to item file
https://arxiv.org/abs/1409.8219v2
Dewey
Probabilités et mathématiques appliquées
Sujet
Bermudan options; quantile hedging; stochastic target problems
Journal issue
SIAM Journal on Financial Mathematics
Volume
7
Number
1
Publication date
2016
Article pages
215-235
Publisher
Society for Industrial and Applied Mathematics
DOI
http://dx.doi.org/10.1137/15M1029461
URI
https://basepub.dauphine.fr/handle/123456789/16169
Collections
  • CEREMADE : Publications
Metadata
Show full item record
Author
Bouchard, Bruno
Bouveret, Géraldine
Chassagneux, Jean-François
Type
Article accepté pour publication ou publié
Abstract (EN)
Within a Markovian complete financial market, we consider the problem of hedging a Bermudan option with a given probability. Using stochastic target and duality arguments, we derive a backward numerical scheme for the Fenchel transform of the pricing function. This algorithm is similar to the usual American backward induction, except that it requires two additional Fenchel transformations at each exercise date. We provide numerical illustrations.

  • Accueil Bibliothèque
  • Site de l'Université Paris-Dauphine
  • Contact
SCD Paris Dauphine - Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16

 Content on this site is licensed under a Creative Commons 2.0 France (CC BY-NC-ND 2.0) license.