A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options (Q1630416)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options |
scientific article |
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A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options (English)
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10 December 2018
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stochastic target problems
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comparison principle
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quantile hedging
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Bermudan options
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