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math.OC2026
A posteriori error bounds for the Uncertain Volatility Model
Lokman A Abbas-Turki, Chassagneux Jean-Fran{\c c}ois, Jean-Philippe Lemor +2
We develop a posteriori primal-dual bounds for numerical approximations of European option prices in the Uncertain Volatility Model. Given a smooth candidate approximation of the v…
math.OC2014
Impulse Control of a Diffusion with a Change Point
Lokman A. Abbas-Turki, Ioannis Karatzas, Qinghua Li
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is refor…