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A Comparison Principle for PDEs Arising in Approximate Hedging Problems: Application to Bermudan Options

A Comparison Principle for PDEs Arising in Approximate Hedging Problems: Application to Bermudan Options

Bouveret, Géraldine; Chassagneux, Jean-François
  • 期刊名称Applied Mathematics & Optimization
  • 作者Bouveret, Géraldine; Chassagneux, Jean-François
  • 印刷ISSN0095-4616
  • 电子ISSN1432-0606
  • 文件大小545.57KB
  • 发表时间2017-4-10
  • DOI10.1007/s00245-017-9413-5
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