A backward dual representation for the quantile hedging of Bermudan options
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References listed on IDEAS
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- Ying Jiao & Olivier Klopfenstein & Peter Tankov, 2013. "Hedging under multiple risk constraints," Papers 1309.5094, arXiv.org.
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Cited by:
- Cyril B'en'ezet & Jean-Franc{c}ois Chassagneux & Mohan Yang, 2023. "An optimal transport approach for the multiple quantile hedging problem," Papers 2308.01121, arXiv.org.
- Dumitrescu, Roxana & Elie, Romuald & Sabbagh, Wissal & Zhou, Chao, 2023. "A new Mertens decomposition of Yg,ξ-submartingale systems. Application to BSDEs with weak constraints at stopping times," Stochastic Processes and their Applications, Elsevier, vol. 164(C), pages 183-205.
- Géraldine Bouveret & Athena Picarelli, 2020. "A Level-Set Approach for Stochastic Optimal Control Problems Under Controlled-Loss Constraints," Journal of Optimization Theory and Applications, Springer, vol. 186(3), pages 779-805, September.
- Cyril B'en'ezet & Jean-Franc{c}ois Chassagneux & Christoph Reisinger, 2019. "A numerical scheme for the quantile hedging problem," Papers 1902.11228, arXiv.org.
- Géraldine Bouveret, 2018. "Portfolio Optimization Under A Quantile Hedging Constraint," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-36, November.
- Roxana Dumitrescu & Romuald Elie & Wissal Sabbagh & Chao Zhou, 2017. "A new Mertens decomposition of $\mathscr{Y}^{g,\xi}$-submartingale systems. Application to BSDEs with weak constraints at stopping times," Papers 1708.05957, arXiv.org, revised May 2023.
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Keywords
Bermudan options; stochastic target problems; quantile hedging;All these keywords.
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