35 citations · 35 across the 4 of their papers we have counts for
4 papers
Asymptotic properties and drift parameter estimations of the ergodic double Heston model based on continuous-time observations
Mohamed Ben Alaya, Houssem Dahbi, Hamdi Fathallah
The double Heston model is one of the most popular option pricing models in financial theory. It is applied to several issues such that risk management and volatility surface calib…
Asymptotic properties of AD(1, n) model and its maximum likelihood estimator
Mohamed Ben Alaya, Houssem Dahbi, Hamdi Fathallah
This paper deals with the problem of global parameter estimation of affine diffusions in denoted by where is a positive integer wh…
Central limit theorem for the multilevel Monte Carlo Euler method
Mohamed Ben Alaya, Ahmed Kebaier
This paper focuses on studying the multilevel Monte Carlo method recently introduced by Giles [Oper. Res. 56 (2008) 607-617] which is significantly more efficient than the classica…
Importance Sampling and Statistical Romberg Method for Lévy Processes
M. Ben Alaya, K. Hajji, A. Kebaier
An important family of stochastic processes arising in many areas of applied probability is the class of Lévy processes. Generally, such processes are not simulatable especially fo…