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On optimal options book execution strategies with market impact

Kalife, Aymeric; Mouti, Saad - In: Market microstructure and liquidity 2 (2016) 3/4, pp. 1-40

Persistent link: https://www.econbiz.de/10011715825

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

The robust pricing-hedging duality for American options in discrete time financial markets

Aksamit, Anna; Deng, Shuoqing; Obłój, Jan; Tan, Xiaolu - In: Mathematical Finance 29 (2018) 3, pp. 861-897

Persistent link: https://www.econbiz.de/10012095167

A numerical algorithm for a class of BSDEs via the branching process

Henry-Labordère, Pierre; Tan, Xiaolu; Touzi, Nizar - In: Stochastic Processes and their Applications 124 (2014) 2, pp. 1112-1140

We give a study to the algorithm for semi-linear parabolic PDEs in Henry-Labordère (2012) and then generalize it to the non-Markovian case for a class of Backward SDEs (BSDEs). By simulating the branching process, the algorithm does not need any backward regression. To prove that the numerical...

Persistent link: https://www.econbiz.de/10011064971

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

Utility maximization with proportional transaction costs under model uncertainty

Deng, Shuoqing; Tan, Xiaolu; Yu, Xiang - In: Mathematics of operations research 45 (2020) 4, pp. 1210-1236

Persistent link: https://www.econbiz.de/10012319659

McKean-Vlasov optimal control : limit theory and equivalence between different formulations

Djete, Mao Fabrice; Possamaï, Dylan; Tan, Xiaolu - In: Mathematics of operations research 47 (2022) 4, pp. 2891-2930

Persistent link: https://www.econbiz.de/10014311392