185 citations · 202 across the 10 of their papers we have counts for
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math.PR2019★ 1 cited
A comparison of European and Asian options under Markov additive processes
David Woodford, Larbi Alili
We provide results relating to the integrability, uniform integrability and local integrability of exponential MAPs, which are natural extensions of exponential Levy models. Then,…
math.PR2019
On Doney's striking factorization of the arc-sine law
Larbi Alili, Carine Bartholmé, Loïc Chaumont +3
R. Doney identifies a striking factorization of the arc-sine law in terms of the suprema of two independent stable processes of the same index by an elegant random walks approximat…