A backward dual representation for the quantile hedging of Bermudan options
Year of publication: |
2014-09-29
|
---|---|
Authors: | Bouchard, Bruno ; Chassagneux, Jean-François ; Bouveret, Géraldine |
Institutions: | HAL |
Subject: | stochastic target problems | quantile hedging | Bermudan options |
-
Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
Bouveret, Géraldine, (2019)
-
Option hedging for small investors under liquidity costs
Soner, H. Mete, (2010)
-
Bouchard, Bruno, (2013)
- More ...
-
Propagation of Carbon Taxes in Credit Portfolio Through Macroeconomic Factors
Bouveret, Géraldine, (2023)
-
Discrete-time approximation for continuously and discretely reflected BSDEs
Bouchard, Bruno, (2008)
-
Fundamentals and advanced techniques in derivatives hedging
Bouchard, Bruno, (2016)
- More ...