scientific article; zbMATH DE number 1255542

From MaRDI portal
Publication:4229805

zbMath0949.60005MaRDI QIDQ4229805

Damien Lamberton, Bernard Lapeyre

Publication date: 28 February 1999


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items (84)

Inference on some parametric functions in the univariate lognormal diffusion process with exogenous factorsMODERN LOGARITHMS FOR THE HESTON MODELA NEW FINITE ELEMENT METHOD FOR PRICING OF BOND OPTIONS UNDER TIME INHOMOGENEOUS AFFINE TERM STRUCTURE MODELS OF INTEREST RATESAn explicit finite difference approach to the pricing problems of perpetual Bermudan optionsStochastic Volatility for Lévy ProcessesCrossing probabilities for diffusion processes with piecewise continuous boundariesConvergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equationStabilized multilevel Monte Carlo method for stiff stochastic differential equationsAdaptative Monte Carlo Method, A Variance Reduction TechniqueEstimation of the Option Prime: Microsimulation of Backward Stochastic Differential EquationsApproximation of the distribution of a stationary Markov process with application to option pricingSupervised classification of diffusion pathsWeak approximation of CIR equation by discrete random variablesA new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion modelsTIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELSQUADRATIC HEDGING FOR THE BATES MODELOn Hölder fields clusteringA posteriorierror analysis for parabolic variational inequalitiesExit Times and Poisson Kernels of the Ornstein–Uhlenbeck DiffusionPricing and hedging Asian basket options with quasi-Monte Carlo simulationsErgodic approximation of the distribution of a stationary diffusion: rate of convergenceA SHOT NOISE MODEL FOR FINANCIAL ASSETSLarge Deviations for the Squared Radial Ornstein--Uhlenbeck ProcessSmoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusionsEstimation of risk-neutral density surfacesOption pricing under a gamma-modulated diffusion processAsymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility modelsSharp Large Deviations for the Drift Parameter of the Explosive Cox--Ingersoll--Ross ProcessA semigroup expansion for pricing barrier optionsAffine fractional stochastic volatility modelsOPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELSEXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODELNumerical Procedure for Calibration of Volatility with American OptionsPricing multi-asset American options: A finite element method-of-Lines with smooth penaltyPricing Perpetual Options for Jump ProcessesExploiting multi-core architectures for reduced-variance estimation with intractable likelihoodsSTATISTICAL PROPERTIES AND MULTIFRACTAL BEHAVIORS OF MARKET RETURNS BY ISING DYNAMIC SYSTEMSAdaptive sequential estimation for ergodic diffusion processes in quadratic metricA NEW MONTE CARLO METHOD FOR AMERICAN OPTIONSOn the approximation of infinite dimensional optimal stopping problems with application to mathematical financeOPTIMAL STRATEGIES FOR THE ISSUANCES OF PUBLIC DEBT SECURITIESThe linear space of generalized Brownian motions with applicationsImplementing quasi-Monte Carlo simulations with linear transformationsOn the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficientsGalerkin infinite element approximation for pricing barrier options and options with discontinuous payoffStrong Solutions of a Class of Stochastic Differential Equations with JumpsPRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTUREExplicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy ProcessesError Calculus and Path Sensitivity in Financial ModelsStatistical Romberg extrapolation: a new variance reduction method and applications to option pricingSensitivitiesviarough pathsLinear complexity solution of parabolic integro-differential equationsImproved lower and upper bound algorithms for pricing American options by simulationFINITE-RANGE CONTACT PROCESS ON THE MARKET RETURN INTERVALS DISTRIBUTIONSImplicit-explicit numerical schemes for jump-diffusion processesNonlinear Analysis on Cross-Correlation of Financial Time Series by Continuum Percolation SystemFunctional quantization for numerics with an application to option pricingOn constructive complex analysis in finance: Explicit formulas for Asian optionsOPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONSAn optimal investment strategy with maximal risk aversion and its ruin probabilityA Model with Interacting Assets Driven by Poisson ProcessesA QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONSAn efficient implementation of a least squares Monte Carlo method for valuing American-style optionsNo arbitrage without semimartingalesRegression methods in pricing American and Bermudan options using consumption processesMultiFactor Valuation of Floating Range NotesOptimal control of ultradiffusion processes with application to mathematical financeSome Properties of CIR ProcessesOn the equivalence of the static and dynamic asset allocation problemsCONVENIENT MULTIPLE DIRECTIONS OF STRATIFICATIONQUANTUM MONTE CARLO SIMULATIONS OF FERMIONS: A MATHEMATICAL ANALYSIS OF THE FIXED-NODE APPROXIMATIONA Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor ModelA COMMON MARKET MEASURE FOR LIBOR AND PRICING CAPS, FLOORS AND SWAPS IN A FIELD THEORY OF FORWARD INTEREST RATESDevelopment of computational algorithms for evaluating option prices associated with square-root volatility processesAsymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root DiffusionsA Stochastic Volatility Alternative to SABRSTATISTICAL ANALYSIS BY STATISTICAL PHYSICS MODEL FOR THE STOCK MARKETSValuation of default swap with affine-type hazard rateA framework algorithm to compute optimal asset allocation for retirement with behavioral utilitiesFinite volume methods for the valuation of American optionsA quickest detection problem with an observation costReal options with a double continuation regionHedging error estimate of the american put option problem in jump-diffusion processesParameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases




This page was built for publication: