28 citations · 72 across the 6 of their papers we have counts for
6 papers
Short-time asymptotics for marginal distributions of semimartingales
Amel Bentata, Rama Cont
We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymp…
Forward equations for option prices in semimartingale models
Rama Cont, Amel Bentata
We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by…
Mimicking the marginal distributions of a semimartingale
Amel Bentata, Rama Cont
We exhibit conditions under which the flow of marginal distributions of a discontinuous semimartingale can be matched by a Markov process, whose infinitesimal generator is expr…
From Black-Scholes and Dupire formulae to last passage times of local martingales. Part B : The finite time horizon
Amel Bentata, Marc Yor
These notes are the second half of the contents of the course given by the second author at the Bachelier Seminar (8-15-22 February 2008) at IHP. They also correspond to topics stu…
From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon
Amel Bentata, Marc Yor
These notes are the first half of the contents of the course given by the second author at the Bachelier Seminar (February 8-15-22 2008) at IHP. They also correspond to topics stud…
A note about conditional Ornstein-Uhlenbeck processes
Amel Bentata
In this short note, the identity in law, which was obtained by P. Salminen, between on one hand, the Ornstein-Uhlenbeck process with parameter gamma, killed when it reaches 0, and…