A Backward Dual Representation for the Quantile Hedging of Bermudan Options

Bruno Bouchard 0002, Géraldine Bouveret, Jean-François Chassagneux. A Backward Dual Representation for the Quantile Hedging of Bermudan Options. SIAM J. Financial Math., 7(1):215-235, 2016. [doi]

Abstract

Abstract is missing.