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Superreplication with proportional transaction cost under model uncertainty

Bouchard, Bruno; Deng, Shuoqing; Tan, Xiaolu - In: Mathematical Finance 29 (2018) 3, pp. 837-860

Persistent link: https://www.econbiz.de/10012095165

Almost-sure hedging with permanent price impact

Bouchard, Bruno; Loeper, Grégoire; Zou, Yiyi - In: Finance and stochastics 20 (2016) 3, pp. 741-771

Persistent link: https://www.econbiz.de/10011531441

Fundamentals and advanced techniques in derivatives hedging

Bouchard, Bruno; Chassagneux, Jean-François - 2016

Persistent link: https://www.econbiz.de/10011531565

Consistent price systems under model uncertainty

Bouchard, Bruno; Nutz, Marcel - In: Finance and stochastics 20 (2016) 1, pp. 83-98

Persistent link: https://www.econbiz.de/10011459977

Stochastic target games and dynamic programming via regularized viscosity solutions

Bouchard, Bruno; Nutz, Marcel - In: Mathematics of operations research 41 (2016) 1, pp. 109-124

Persistent link: https://www.econbiz.de/10011448306

Hedging under an expected loss constraint with small transaction costs

Bouchard, Bruno; Moreau, Ludovic; Soner, Halil Mete - 2014

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small transaction costs is used to obtain a tractable model. A...

Persistent link: https://www.econbiz.de/10010442924

A quasi-sure optional decomposition and super-hedging result on the Skorokhod space

Bouchard, Bruno; Tan, Xiaolu - In: Finance and stochastics 25 (2021) 3, pp. 505-528

Persistent link: https://www.econbiz.de/10012585984

Computation of expected shortfall by fast detection of worst scenarios

Bouchard, Bruno; Reghai, Adil; Virrion, Benjamin - In: Quantitative finance 21 (2021) 7, pp. 1087-1108

Persistent link: https://www.econbiz.de/10012588021

Optimal trading with online parameter revisions

Baradel, N.; Bouchard, Bruno; Dang, N. M. - In: Market microstructure and liquidity 2 (2016) 3/4, pp. 1-27

Persistent link: https://www.econbiz.de/10011715775

Equilibrium returns with transaction costs

Bouchard, Bruno; Fukasawa, Masaaki; Herdegen, Martin; … - In: Finance and stochastics 22 (2018) 3, pp. 569-601

Persistent link: https://www.econbiz.de/10011945871