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most citedThe Recalibration Conundrum: Hedging Valuation Adjustment for Callable Claims

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math.PR2023

An optimal transport approach for the multiple quantile hedging problem

Cyril Bénézet, Jean-François Chassagneux, Mohan Yang

We consider the multiple quantile hedging problem, which is a class of partial hedging problems containing as special examples the quantile hedging problem (F{ö}llmer \& Leukert 19…