A Numerical Scheme for the Quantile Hedging Problem
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Publication:5853613
DOI10.1137/19M1267477zbMath1459.91217arXiv1902.11228MaRDI QIDQ5853613
Cyril Bénézet, Jean-François Chassagneux, Christoph Reisinger
Publication date: 11 March 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.11228
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)
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Uses Software
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