Pages that link to "Item:Q2808185"
From MaRDI portal
The following pages link to A Backward Dual Representation for the Quantile Hedging of Bermudan Options (Q2808185):
Displaying 6 items.
- A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options (Q1630416) (← links)
- A level-set approach for stochastic optimal control problems under controlled-loss constraints (Q2198527) (← links)
- PORTFOLIO OPTIMIZATION UNDER A QUANTILE HEDGING CONSTRAINT (Q4555858) (← links)
- Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints (Q5241902) (← links)
- A Numerical Scheme for the Quantile Hedging Problem (Q5853613) (← links)
- A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times (Q6072905) (← links)
