A backward dual representation for the quantile hedging of Bermudan   options
  Within a Markovian complete financial market, we consider the problem of hedging a Bermudan option with a given probability. Using stochastic target and duality arguments, we derive a backward numerical scheme for the Fenchel transform of the pricing function. This algorithm is similar to the usual American backward induction, except that it requires two additional Fenchel transformations at each exercise date. We provide numerical illustrations. 
Bruno Bouchard (CEREMADE, CREST), Jean-Fran\c{c}ois Chassagneux,   G\'eraldine Bouveret
math.PR