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math.PR2023
Option pricing and hedging for regime-switching geometric Brownian motion models
Bruno Remillard, Sylvain Rubenthaler
We find the variance-optimal equivalent martingale measure when multivariate assets are modeled by a regime-switching geometric Brownian motion, and the regimes are represented by…
math.PR2023
Central limit theorems for martingales-II: convergence in the weak dual topology, with corrections
Bruno N. Remillard, Jean Vaillancourt
A convergence theorem for martingales with càdlàg trajectories (right continuous with left limits everywhere) is obtained in the sense of the weak dual topology on Hilbert space, u…