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"A Backward Dual Representation for the Quantile Hedging of Bermudan Options."

Bruno Bouchard, Géraldine Bouveret, Jean-François Chassagneux (2016)

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DOI: 10.1137/15M1029461

access: closed

type: Journal Article

metadata version: 2017-05-17

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  - journals/siamfm/BouchardBC16
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  - https://dblp.org/rec/journals/siamfm/BouchardBC16
Bruno Bouchard, Géraldine Bouveret, Jean-François Chassagneux:
A Backward Dual Representation for the Quantile Hedging of Bermudan Options. SIAM J. Financial Math. 7(1): 215-235 (2016)

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