425 citations · 453 across the 3 of their papers we have counts for
4 papers
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…
Stochastic Policy Gradient Methods in the Uncertain Volatility Model
Lokman A Abbas-Turki, Jean-François Chassagneux, Jean-Fran{\c c}ois Chassagneux +4
The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becom…
Numerical simulation of BSDEs using empirical regression methods: theory and practice
Emmanuel Gobet, Jean-Philippe Lemor
This article deals with the numerical resolution of backward stochastic differential equations. Firstly, we consider a rather general case where the filtration is generated by a Br…
A regression-based Monte Carlo method to solve backward stochastic differential equations
Emmanuel Gobet, Jean-Philippe Lemor, Xavier Warin
We are concerned with the numerical resolution of backward stochastic differential equations. We propose a new numerical scheme based on iterative regressions on function bases, wh…