46 citations · 224 across the 39 of their papers we have counts for
4 papers · 1 filter
High-order short-time expansions for ATM option prices under the CGMY model
José E. Figueroa-López, Ruoting Gong, Christian Houdré
The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, a novel second-order approx…
On the Limiting Shape of Young Diagrams Associated With Markov Random Words
Christian Houdré, Trevis J. Litherland
Let be an irreducible, aperiodic, homogeneous Markov chain, with state space a totally ordered finite alphabet of size . Using combinatorial constructions and…
Asymptotics for the Length of the Longest Increasing Subsequence of Binary Markov Random Word
Christian Houdré, Trevis J. Litherland
Let be an irreducible, aperiodic, and homogeneous binary Markov chain and let be the length of the longest (weakly) increasing subsequence of $(X_k)_{1\le k…
Simultaneous large deviations for the shape of Young diagrams associated with random words
Christian Houdré, Jinyong Ma
We investigate the large deviations of the shape of the random RSK Young diagrams associated with a random word of size whose letters are independently drawn from an alphabet o…