A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options
From MaRDI portal
Publication:1630416
DOI10.1007/s00245-017-9413-5zbMath1404.93033arXiv1512.09189OpenAlexW2949482391MaRDI QIDQ1630416
Géraldine Bouveret, Jean-François Chassagneux
Publication date: 10 December 2018
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1512.09189
Dynamic programming in optimal control and differential games (49L20) Nonlinear parabolic equations (35K55) Optimal stochastic control (93E20) Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Related Items
A level-set approach for stochastic optimal control problems under controlled-loss constraints ⋮ A Numerical Scheme for the Quantile Hedging Problem
Cites Work
- Hedging under multiple risk constraints
- Viscosity solutions of fully nonlinear second-order elliptic partial differential equations
- The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints
- Continuous-time stochastic control and optimization with financial applications
- A closed-form solution to the problem of super-replication under transaction costs
- Dynamic programming for stochastic target problems and geometric flows
- Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
- Quantile hedging
- BSDEs with weak terminal condition
- The multi-dimensional super-replication problem under gamma constraints
- A Backward Dual Representation for the Quantile Hedging of Bermudan Options
- State-Constrained Stochastic Optimal Control Problems via Reachability Approach
- A Stochastic Target Approach for P&L Matching Problems
- Stochastic Target Problems with Controlled Loss
- Stochastic Target Problems with Controlled Loss in Jump Diffusion Models
- Numerical Approximation for a Superreplication Problem under Gamma Constraints
- User’s guide to viscosity solutions of second order partial differential equations
- Backward Stochastic Differential Equations in Finance
- Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions