1 citations · 1 across the 2 of their papers we have counts for
5 papers
JDOI Variance Reduction Method and the Pricing of American-Style Options
Johan Auster, Ludovic Mathys, Fabio Maeder
The present article revisits the Diffusion Operator Integral (DOI) variance reduction technique originally proposed in Heath and Platen (2002) and extends its theoretical concept t…
Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing
Walter Farkas, Ludovic Mathys
The present article studies geometric step options in exponential Lévy markets. Our contribution is manifold and extends several aspects of the geometric step option pricing litera…
Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps
Walter Farkas, Ludovic Mathys, Nikola Vasiljević
The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in Boudoukh, Richar…
Valuing Tradeability in Exponential Lévy Models
Ludovic Mathys
The present article provides a novel theoretical way to evaluate tradeability in markets of ordinary exponential Lévy type. We consider non-tradeability as a particular type of mar…
On Extensions of the Barone-Adesi & Whaley Method to Price American-Type Options
Ludovic Mathys
The present article provides an efficient and accurate hybrid method to price American standard options in certain jump-diffusion models as well as American barrier-type options un…