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]
@article{BouchardBC16,
title = {A Backward Dual Representation for the Quantile Hedging of Bermudan Options},
author = {Bruno Bouchard 0002 and Géraldine Bouveret and Jean-François Chassagneux},
year = {2016},
doi = {10.1137/15M1029461},
url = {http://dx.doi.org/10.1137/15M1029461},
researchr = {https://researchr.org/publication/BouchardBC16},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {7},
number = {1},
pages = {215-235},
}