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20132025
most citedA Regress-Later Algorithm for Backward Stochastic Differential Equations

2 citations · 2 across the 3 of their papers we have counts for

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q-fin.PR2013

Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims

Łukasz Delong, Antoon Pelsser

We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asse…