1 citations · 1 across the 5 of their papers we have counts for
5 papers
Notes on the SWIFT method based on Shannon Wavelets for Option Pricing -- Revisited
Fabien Le Floc'h
This note revisits the SWIFT method based on Shannon wavelets to price European options under models with a known characteristic function in 2023. In particular, it discusses some…
Instabilities of Super-Time-Stepping Methods on the Heston Stochastic Volatility Model
Fabien Le Floc'h
This note explores in more details instabilities of explicit super-time-stepping schemes, such as the Runge-Kutta-Chebyshev or Runge-Kutta-Legendre schemes, noticed in the litterat…
Instabilities of explicit finite difference schemes with ghost points on the diffusion equation
Fabien Le Floc'h
Ghost, or fictitious points allow to capture boundary conditions that are not located on the finite difference grid discretization. We explore in this paper the impact of ghost poi…
Maximum Implied Variance Slope -- Practical Aspects
Fabien Le Floc'h, Winfried Koller
In the Black-Scholes model, the absence of arbitrages imposes necessary constraints on the slope of the implied variance in terms of log-moneyness, asymptotically for large log-mon…
Roughness of the Implied Volatility
Fabien Le Floc'h
The measures of roughness of the volatility in the litterature are based on the realized volatility of high frequency data. Some authors show that this leads to a biased estimate,…