2 papers
q-fin.CP2011
Swing Options Valuation: a BSDE with Constrained Jumps Approach
Marie Bernhart, Huyên Pham, Peter Tankov +1
We introduce a new probabilistic method for solving a class of impulse control problems based on their representations as Backward Stochastic Differential Equations (BSDEs for shor…
q-fin.PR2010
A finite dimensional approximation for pricing moving average options
Marie Bernhart, Peter Tankov, Xavier Warin
We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of th…