73 citations · 279 across the 29 of their papers we have counts for
Showing 2013Show all
3 papers · 1 filter
q-fin.PR2013
When terminal facelift enforces Delta constraints
Jean-François Chassagneux, Romuald Elie, Idris Kharroubi
This paper deals with the super-replication of non path-dependent European claims under additional convex constraints on the number of shares held in the portfolio. The correspondi…
math.PR2013★ 62 cited
Numerical simulation of quadratic BSDEs
Jean-François Chassagneux, Adrien Richou
This article deals with the numerical approximation of Markovian backward stochastic differential equations (BSDEs) with generators of quadratic growth with respect to and boun…
math.PR2013★ 6 cited
Linear multi-step schemes for BSDEs
Jean-François Chassagneux
We study the convergence rate of a class of linear multi-step methods for BSDEs. We show that, under a sufficient condition on the coefficients, the schemes enjoy a fundamental sta…