A Backward Dual Representation for the Quantile Hedging of...

A Backward Dual Representation for the Quantile Hedging of Bermudan Options

Bouchard, Bruno, Bouveret, Géraldine, Chassagneux, Jean-François
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Volume:
7
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/15m1029461
Date:
January, 2016
File:
PDF, 596 KB
english, 2016
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