4 papers
The Delta of a Variance Swap
Sébastien Bossu, Sebastian Gaitan-Escarpeta
We define the variance swap delta as the sensitivity of the price of variance to a change in underlying price. We use Carr-Madan spanning formulas to analyze this sensitivity when…
Fitting an Escalier to a Curve
Sebastien Bossu, Andrew Papanicolaou, Nour El Hatto
We analyze the problem of fitting a fonction en escalier or multi-step function to a curve in L^2 Hilbert space. We propose a two-stage optimization approach whereby the step posit…
Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees
Sebastien Bossu, Michael Grabchak
Random-expiry options are nontraditional derivative contracts that may expire early based on a random event. We develop a methodology for pricing these options using a trinomial tr…
Spanning Multi-Asset Payoffs With ReLUs
Sébastien Bossu, Stéphane Crépey, Hoang-Dung Nguyen
We propose a distributional formulation of the spanning problem of a multi-asset payoff by vanilla basket options. This problem is shown to have a unique solution if and only if th…