A Backward Dual Representation for the Quantile Hedging of Bermudan Options

DOI10.1137/15M1029461zbMath1339.91114arXiv1409.8219OpenAlexW2949300236MaRDI QIDQ2808185

Géraldine Bouveret, Bruno Bouchard, Jean-François Chassagneux

Publication date: 20 May 2016

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.8219

zbMATH Keywords

quantile hedgingstochastic target problemsBermudan options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming in optimal control and differential games (49L20) Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options ⋮ PORTFOLIO OPTIMIZATION UNDER A QUANTILE HEDGING CONSTRAINT ⋮ A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times ⋮ A level-set approach for stochastic optimal control problems under controlled-loss constraints ⋮ Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints ⋮ A Numerical Scheme for the Quantile Hedging Problem

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