231 citations · 447 across the 35 of their papers we have counts for
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math.PR2014
Regularity of BSDEs with a convex constraint on the gains-process
Bruno Bouchard, Romuald Elie, Ludovic Moreau
We consider the minimal super-solution of a backward stochastic differential equation with constraint on the gains-process. The terminal condition is given by a function of the ter…
math.PR2014
A backward dual representation for the quantile hedging of Bermudan options
Bruno Bouchard, Jean-François Chassagneux, Géraldine Bouveret
Within a Markovian complete financial market, we consider the problem of hedging a Bermudan option with a given probability. Using stochastic target and duality arguments, we deriv…