A comparison principle for PDEs arising in approximate hedging problems: Application to Bermudan options
In a Markovian framework, we consider the problem of finding the minimal initial value of a controlled process allowing to reach a stochastic target with a given level of expected loss. This question arises typically in approximate hedging problems. The solution to this problem has been characterise...
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| Médium: | Journal article |
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Springer
2017
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