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researcher

Ludovic Mathys

5 papers hereh-index 327 citations7 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • sole author2
  • middle author2
  • last author1

Across the 5 of 5 papers where every author was matched, so the position is known.

fields
  • q-fin.MF5

identity via Semantic Scholar / OpenAlex

activity
20192021
most citedOn Extensions of the Barone-Adesi & Whaley Method to Price American-Type Options

1 citations · 1 across the 2 of their papers we have counts for

collaborators
Showing 2021Show all

1 paper · 1 filter

q-fin.MF2021

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…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.