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dc.contributor.authorBouchard, Bruno
dc.contributor.authorBouveret, Géraldine
dc.contributor.authorChassagneux, Jean-François
dc.date.accessioned2017-01-17T14:45:59Z
dc.date.available2017-01-17T14:45:59Z
dc.date.issued2016
dc.identifier.issn1945-497X
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16169
dc.language.isoenen
dc.subjectBermudan optionsen
dc.subjectquantile hedgingen
dc.subjectstochastic target problemsen
dc.subject.ddc519en
dc.titleA Backward Dual Representation for the Quantile Hedging of Bermudan Optionsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWithin 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.en
dc.relation.isversionofjnlnameSIAM Journal on Financial Mathematics
dc.relation.isversionofjnlvol7en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2016
dc.relation.isversionofjnlpages215-235en
dc.relation.isversionofdoi10.1137/15M1029461en
dc.identifier.urlsitehttps://arxiv.org/abs/1409.8219v2en
dc.relation.isversionofjnlpublisherSociety for Industrial and Applied Mathematicsen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2017-01-03T10:45:12Z
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