2 citations · 3 across the 11 of their papers we have counts for
12 papers
How to choose my stochastic volatility parameters? A review
Fabien Le Floc'h
Based on the existing literature, this article presents the different ways of choosing the parameters of stochastic volatility models in general, in the context of pricing financia…
Revisiting Stochastic Collocation with Exponential Splines for an Arbitrage-Free Interpolation of Option Prices
Fabien Le Floc'h
We revisit the stochastic collocation method using the exponential of a quadratic spline. In particular, we look in details whether it is more appropriate to fix the ordinates and…
Asian Basket Spread Options: A New Approximation Based on Stochastic Taylor Expansions
Fabien Le Floc'h
We present closed analytical approximations for the pricing of Asian basket spread options under the Black-Scholes model. The formulae are obtained by using a stochastic Taylor exp…
On the Bachelier implied volatility at extreme strikes
Fabien Le Floc'h
What kind of implied volatility extrapolation is appropriate? Roger Lee proved that the Black-Scholes implied variance can not grow faster than linearly in log-moneyness. This pape…
Double sweep LU decomposition for American options under negative rates
Fabien Le Floc'h
The classic Brennan-Schwartz algorithm to solve the linear complementary problem, which arises from the finite difference discretization of the partial differential equation relate…
Positive Stochastic Collocation for the Collocated Local Volatility Model
Fabien Le Floc'h, Cornelis W. Oosterlee
This paper presents how to apply the stochastic collocation technique to assets that can not move below a boundary. It shows that the polynomial collocation towards a lognormal dis…
More stochastic expansions for the pricing of vanilla options with cash dividends
Fabien Le Floc'h
There is no exact closed form formula for pricing of European options with discrete cash dividends under the model where the underlying asset price follows a piecewise lognormal pr…
Pricing American options with the Runge-Kutta-Legendre finite difference scheme
Fabien Le Floc'h
This paper presents the Runge-Kutta-Legendre finite difference scheme, allowing for an additional shift in its polynomial representation. A short presentation of the stability regi…
Entropy of Mersenne-Twisters
Fabien Le Floc'h
The Mersenne-Twister is one of the most popular generators of uniform pseudo-random numbers. It is used in many numerical libraries and software. In this paper, we look at the Komo…
More Robust Pricing of European Options Based on Fourier Cosine Series Expansions
Fabien Le Floc'h
We present an alternative formula to price European options through cosine series expansions, under models with a known characteristic function such as the Heston stochastic volati…
Notes on the SWIFT method based on Shannon Wavelets for Option Pricing
Fabien Le Floc'h
This note shows that the cosine expansion based on the Vieta formula is equivalent to a discretization of the Parseval identity. We then evaluate the use of simple direct algorithm…
An arbitrage-free interpolation of class for option prices
Fabien Le Floc'h
This paper presents simple formulae for the local variance gamma model of Carr and Nadtochiy, extended with a piecewise-linear local variance function. The new formulae allow to ca…