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Short-time asymptotics for marginal distributions of semimartingales
We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term... -
A Moments and Strike Matching Binomial Algorithm for Pricing American Put Opt...
This paper is dedicated to a new binomial lattice method (MSM) consistent with the Black-Scholes model in the limit of an infinite step number and such that the Strike... -
Preliminary remarks on option pricing and dynamic hedging
International audience -
Valuation of the Prepayment Option of a Perpetual Corporate Loan
International audience -
Efficient pricing of swing options in Lévy-driven models
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Stochastic expansion for the diffusion processes and applications to option p...
This thesis deals with the approximation of the expectation of a functional (possibly depending on the whole path) applied to a diffusion process (possibly... -
Option pricing with discrete time jump processes
International audience -
Prepayment option of a perpetual corporate loan: the impact of the funding costs
International audience
