26 citations · 87 across the 17 of their papers we have counts for
Showing 2012Show all
2 papers · 1 filter
math.PR2012
Adaptive numerical integration and control variates for pricing Basket Options
Christophe De Luigi, Jérôme Lelong, Sylvain Maire
We develop a numerical method for pricing multidimensional vanilla options in the Black-Scholes framework. In low dimensions, we improve an adaptive integration algorithm proposed…
math.PR2012
Long time behaviour of a stochastic nano particle
Pierre Etoré, Stéphane Labbé, Jérôme Lelong
In this article, we are interested in the behaviour of a single ferromagnetic mono-domain particle submitted to an external field with a stochastic perturbation. This model is the…