Showing math.PRShow all
2 papers · 1 filter
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(…