2 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.CP2020
Fast Lower and Upper Estimates for the Price of Constrained Multiple Exercise American Options by Single Pass Lookahead Search and Nearest-Neighbor Martingale
Nicolas Essis-Breton, Patrice Gaillardetz
This article presents fast lower and upper estimates for a large class of options: the class of constrained multiple exercise American options. Typical options in this class are sw…
q-fin.RM2019★ 2 cited
Risk-Control Strategies
Patrice Gaillardetz, Saeb Hachem
In this paper, we consider the pricing of derivative products that involve dynamic hedging strategies and payments within the planning horizon. Equity-indexed annuities (EIAs), Gua…