From the 1 of 668 papers with an AI index.
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17 papers · 2 filters
General Duality for Perpetual American Options
Aurélien Alfonsi, Benjamin Jourdain
In this paper, we investigate the generalization of the Call-Put duality equality obtained in [1] for perpetual American options when the Call-Put payoff is replaced by $…
A Call-Put Duality for Perpetual American Options
Aurélien Alfonsi, Benjamin Jourdain
It is well known that in models with time-homogeneous local volatility functions and constant interest and dividend rates, the European Put prices are transformed into European Cal…
Height process for super-critical continuous state branching process
Jean-François Delmas
We define the height process for super-critical continuous state branching processes with quadratic branching mechanism. It appears as a projective limit of Brownian motions with p…
Does waste-recycling really improve Metropolis-Hastings Monte Carlo algorithm?
Jean-François Delmas, Benjamin Jourdain
The Metropolis Hastings algorithm and its multi-proposal extensions are aimed at the computation of the expectation of a function under a probability measure diffic…
On some errors related to the graduation of measuring instruments
Nicolas Bouleau
The error on a real quantity Y due to the graduation of the measuring instrument may be represented, when the graduation is regular and fines down, by a Dirichlet form on R whose s…
Stochastic flows approach to Dupire's formula
Benjamin Jourdain
The probabilistic equivalent formulation of Dupire's PDE is the Put-Call duality equality. In local volatility models including exponential Lévy jumps, we give a direct probabilist…