A stochastic target approach for P&L matching problems

Mathematics of Operations Research

Volumn 37, Issue 3, 2012, Pages 526-558

  Bouchard, Bruno ^a   Vu, Thanh Nam ^a  

^a UNIVERSITÉ PARIS DAUPHINE   (France)

Author keywords

Discontinuous viscosity solutions; Quantile hedging; Stochastic target problem

Indexed keywords

BROWNIAN DIFFUSION; DISCONTINUOUS VISCOSITY; DISCRETE P; HAMILTON-JACOBI-BELLMAN; MARKOVIAN; MATCHING PROBLEMS; MULTIPLE CONSTRAINT; NUMERICAL SCHEME; PRICING FUNCTION; PRICING RULES; PROFIT AND LOSS; QUANTILE HEDGING; STOCHASTIC TARGETS; TERMINAL WEALTH;

BROWNIAN MOVEMENT; PROFITABILITY;

STOCHASTIC SYSTEMS;

EID: 84866688450     PISSN: 0364765X     EISSN: 15265471     Source Type: Journal    
DOI: 10.1287/moor.1120.0549     Document Type: Article

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