52 citations · 86 across the 3 of their papers we have counts for
3 papers
Computation of VaR and CVaR using stochastic approximations and unconstrained importance sampling
Olivier Aj Bardou, Noufel Frikha, G. Pagès
Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are two risk measures which are widely used in the practice of risk management. This paper deals with the problem of comput…
Optimal quantization for the pricing of swing options
Olivier Aj Bardou, Sandrine Bouthemy, Gilles Pagès
In this paper, we investigate a numerical algorithm for the pricing of swing options, relying on the so-called optimal quantization method. The numerical procedure is described in…
When are Swing options bang-bang and how to use it
Olivier Aj Bardou, Sandrine Bouthemy, Gilles Pagès
In this paper we investigate a class of swing options with firm constraints in view of the modeling of supply agreements. We show, for a fully general payoff process, that the prem…