57 citations · 266 across the 32 of their papers we have counts for
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Backward Hedging for American Options with Transaction Costs
Ludovic Goudenège, Andrea Molent, Antonino Zanette
In this article, we introduce an algorithm called Backward Hedging, designed for hedging European and American options while considering transaction costs. The optimal strategy is…
A New Non-Linear Density Fluctuations Stochastic Partial Differential Equation With a Singular Coefficient of Relevance to Polymer Dynamics and Rheology: Discussions, Proofs of Solution Existence, Uniqueness, and a Conjecture
Ludovic Goudenège, Liviu Iulian Palade
In this paper we consider an entirely new - previously unstudied to the best of our knowledge - type of density fluctuations stochastic partial differential equation with a singula…
Numerical approximation of SDEs with fractional noise and distributional drift
Ludovic Goudenège, El Mehdi Haress, Alexandre Richard
We study the numerical approximation of SDEs with singular drifts (including distributions) driven by a fractional Brownian motion. Under the Catellier-Gubinelli condition that imp…