113 citations · 209 across the 21 of their papers we have counts for
Showing 2023 · math.PRShow all
2 papers · 2 filters
math.PR2023
Option pricing and hedging for regime-switching geometric Brownian motion models
Bruno Remillard, Sylvain Rubenthaler
We find the variance-optimal equivalent martingale measure when multivariate assets are modeled by a regime-switching geometric Brownian motion, and the regimes are represented by…
math.PR2023
Counterexample to a transition probability formula for the ancestral process
Sylvain Rubenthaler
We consider weighted particle systems in which new generations are re-sampled from current particles with probabilities proportional to their weights. This covers a broad class of…