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math.PR2007
Strong Approximations of BSDEs in a domain
Bruno Bouchard, Stephane Menozzi
We study the strong approximation of a Backward SDE with finite stopping time horizon, namely the first exit time of a forward SDE from a cylindrical domain. We use the Euler schem…
math.PR2005
Explicit characterization of the super-replication strategy in financial markets with partial transaction costs
Imen Bentahar, Bruno Bouchard
We consider a multivariate financial market with transaction costs and study the problem of finding the minimal initial capital needed to hedge, without risk, European-type conting…