Xiaolu Tan

Université Paris Dauphine - CEREMADE

SCHOLARLY PAPERS

4

DOWNLOADS

540

SSRN CITATIONS
Rank 47,206

SSRN RANKINGS

Top 47,206

in Total Papers Citations

10

CROSSREF CITATIONS

4

Scholarly Papers (4)

1.

Exact Simulation of Multi-Dimensional Stochastic Differential Equations

Number of pages: 28 Posted: 26 Apr 2015
Natixis - Paris, France, Université Paris Dauphine - CEREMADE and Ecole Polytechnique, Paris
Downloads 313 (136,430)
Citation 6

Abstract:

Loading...

2.

A Numerical Algorithm for a Class of BSDE Via Branching Process

Number of pages: 27 Posted: 06 Feb 2013
Natixis - Paris, France, Université Paris Dauphine - CEREMADE and Ecole Polytechnique, Paris
Downloads 122 (316,545)
Citation 2

Abstract:

Loading...

numerical algorithm, BSDEs, branching process, viscosity solution, path dependent PDEs

3.

An Explicit Martingale Version of the One-Dimensional Brenier's Theorem with Full Marginals Constraint

Number of pages: 36 Posted: 14 Feb 2014
Natixis - Paris, France, Université Paris Dauphine - CEREMADE and Ecole Polytechnique, Paris
Downloads 105 (351,271)
Citation 7

Abstract:

Loading...

4.

The Robust Pricing–Hedging Duality for American Options in Discrete Time Financial Markets

Mathematical Finance, Vol. 29, Issue 3, pp. 861-897, 2019
Number of pages: 37 Posted: 29 May 2020
affiliation not provided to SSRN, affiliation not provided to SSRN, University of Oxford and Université Paris Dauphine - CEREMADE
Downloads 0 (908,821)
Citation 2

Abstract:

Loading...

American option, dynamic programming principle, Kantorovich duality, martingale optimal transport, measure valued martingale, nondominated model, randomized stopping times, superreplication, weak formulation, Primary: 60G40, 60G05, Secondary: 49M29