2 citations · 3 across the 8 of their papers we have counts for
9 papers
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…