Antoine-Marie Bogso

activity

20152026

most citedMRL order, log-concavity and an application to peacocks

8 citations · 20 across the 13 of their papers we have counts for

collaborators

Showing 2019Show all

2 papers · 1 filter

q-fin.PR2019

European Option Pricing of electricity under exponential functional of Lévy processes with Price-Cap principle

Martin Kegnenlezom, Patrice Takam Soh, Antoine-Marie Bogso +1

We propose a new model for electricity pricing based on the price cap principle. The particularity of the model is that the asset price is an exponential functional of a jump Lévy…

math.PR2019

Self-similar martingales derived from Root embedding

Antoine-Marie Bogso, Mbehou Mohamed

Given a family $(μ_{λ}, λ \geq 0)$ of integrable mean-zero probability measures such that, for every $λ \geq 0$ , $μ_{λ}$ is the image of $μ_{1}$ under the homothety $y ⟼ λ y$ , we…