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math.PR2025
Unbiased simulation of Asian options
Bruno Bouchard, Xiaolu Tan
We provide an extension of the unbiased simulation method for SDEs developed in Henry-Labordere et al. [Ann Appl Probab. 27:6 (2017) 1-37] to a class of path-dependent dynamics, pe…
math.PR2023
On the regularity of solutions of some linear parabolic path-dependent PDEs
Bruno Bouchard, Xiaolu Tan
We study a class of linear parabolic path-dependent PDEs (PPDEs) defined on the space of càdlàg paths , in which the coefficient functions at time depend on $x(…
math.PR2017
Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view
Bruno Bouchard, Ki Chau, Arij Manai +1
We extend the viscosity solution characterization proved in [5] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the pri…