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Article Dans Une Revue Applied Mathematics and Optimization Année : 2018

A Comparison Principle for PDEs Arising in Approximate Hedging Problems: Application to Bermudan Options

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hal-03950924 , version 1 (22-01-2023)

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Géraldine Bouveret, Jean-François Chassagneux. A Comparison Principle for PDEs Arising in Approximate Hedging Problems: Application to Bermudan Options. Applied Mathematics and Optimization, 2018, 78 (3), pp.469-491. ⟨10.1007/s00245-017-9413-5⟩. ⟨hal-03950924⟩
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