Xiaolu Tan

Université Paris Dauphine - CEREMADE

SCHOLARLY PAPERS

4

DOWNLOADS

535

SSRN CITATIONS
Rank 47,210

SSRN RANKINGS

Top 47,210

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 309 (136,773)
Citation 6

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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 (313,202)
Citation 2

Abstract:

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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 104 (349,797)
Citation 7

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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 (892,524)
Citation 2

Abstract:

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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