12 citations · 16 across the 4 of their papers we have counts for
4 papers · 1 filter
Understanding the dual formulation for the hedging of path-dependent options with price impact
Bruno Bouchard, Xiaolu Tan
We consider a general path-dependent version of the hedging problem with price impact of Bouchard et al. (2019), in which a dual formulation for the super-hedging price is obtained…
Numerical approximation of general Lipschitz BSDEs with branching processes
Bruno Bouchard, Xiaolu Tan, Xavier Warin
We extend the branching process based numerical algorithm of Bouchard et al. [3], that is dedicated to semilinear PDEs (or BSDEs) with Lipschitz nonlinearity, to the case where the…
Super-replication with proportional transaction cost under model uncertainty
Bruno Bouchard, Shuoqing Deng, Xiaolu Tan
We consider a discrete time financial market with proportional transaction cost under model uncertainty, and study a super-replication problem. We recover the duality results that…
Optimal Skorokhod embedding given full marginals and Azema-Yor peacocks
Sigrid Kallblad, Xiaolu Tan, Nizar Touzi
We consider the optimal Skorokhod embedding problem (SEP) given full marginals over the time interval . The problem is related to the study of extremal martingales associate…