2 citations · 2 across the 3 of their papers we have counts for
3 papers
cond-mat.other2005★ 2 cited
A Merton-Like Approach to Pricing Debt based on a non-Gaussian Asset Model
Lisa Borland, Jeremy Evnine, Benoit Pochart
This paper is a contribution to the Proceedings of the Workshop Complexity, Metastability and Nonextensivity held in Erice 20-26 July 2004, to be published by World Scientific. We…
cond-mat2003
Option pricing and hedging with minimum local expected shortfall
Benoît Pochart, Jean-Philippe Bouchaud
We propose a versatile Monte-Carlo method for pricing and hedging options when the market is incomplete, for an arbitrary risk criterion (chosen here to be the expected shortfall),…
cond-mat2002
The skewed multifractal random walk with applications to option smiles
B. Pochart, J. -P. Bouchaud
We generalize the construction of the multifractal random walk (MRW) due to Bacry, Delour and Muzy to take into account the asymmetric character of the financial returns. We show h…