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q-fin.MF2024★ 1 cited
Financial Stochastic Models Diffusion: From Risk-Neutral to Real-World Measure
Mohamed Ben Alaya, Ahmed Kebaier, Djibril Sarr
This research presents a comprehensive framework for transitioning financial diffusion models from the risk-neutral (RN) measure to the real-world (RW) measure, leveraging results…
q-fin.MF2024
A pure dual approach for hedging Bermudan options
Aurélien Alfonsi, Ahmed Kebaier, Jérôme Lelong
This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value. It gives a "purely dual" algorithm following the spirit of Roge…