3 citations · 5 across the 3 of their papers we have counts for
3 papers
math.NA2016★ 3 cited
Numerical approximation of BSDEs using local polynomial drivers and branching processes
Bruno Bouchard, Xiaolu Tan, Xavier Warin +1
We propose a new numerical scheme for Backward Stochastic Differential Equations based on branching processes. We approximate an arbitrary (Lipschitz) driver by local polynomials a…
math.PR2015★ 2 cited
Hedging of covered options with linear market impact and gamma constraint
B Bouchard, G Loeper, Y Zou
Within a financial model with linear price impact, we study the problem of hedging a covered European option under gamma constraint. Using stochastic target and partial differentia…
q-fin.PR2015
Almost-sure hedging with permanent price impact
B. Bouchard, G. Loeper, Y. Zou
We consider a financial model with permanent price impact. Continuous time trading dynamics are derived as the limit of discrete rebalancing policies. We then study the problem of…