A Comparison Principle for PDEs Arising in Approximate Hedging Problems: Application to Bermudan Options
نویسندگان
چکیده
منابع مشابه
Dual Valuation and Hedging of Bermudan Options
Some years ago, a different characterization of the value of a Bermudan option was discovered which can be thought of as the viewpoint of the seller of the option, in contrast to the conventional characterization which took the viewpoint of the buyer. Since then, there has been a lot of interest in finding numerical methods which exploit this dual characterization. This paper presents a pure du...
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ژورنال
عنوان ژورنال: Applied Mathematics & Optimization
سال: 2017
ISSN: 0095-4616,1432-0606
DOI: 10.1007/s00245-017-9413-5