A numerical scheme for the quantile hedging problem

Autor:	Bénézet, Cyril, Chassagneux, Jean-François, Reisinger, Christoph
Rok vydání:	2019
Předmět:	Quantitative Finance - Computational Finance Computer Science - Computational Engineering Finance and Science Mathematics - Numerical Analysis
Zdroj:	SIAM J. Finan. Math. 12-1 (2021), pp. 110-157
Druh dokumentu:	Working Paper
DOI:	10.1137/19M1267477
Popis:	We consider the numerical approximation of the quantile hedging price in a non-linear market. In a Markovian framework, we propose a numerical method based on a Piecewise Constant Policy Timestepping (PCPT) scheme coupled with a monotone finite difference approximation. We prove the convergence of our algorithm combining BSDE arguments with the Barles & Jakobsen and Barles & Souganidis approaches for non-linear equations. In a numerical section, we illustrate the efficiency of our scheme by considering a financial example in a market with imperfections. Comment: 47 pages, 6 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1902.11228 Zobrazit plný text záznamu View this record from Arxiv