A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options

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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




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