36 citations · 126 across the 37 of their papers we have counts for
Showing q-fin.MFShow all
2 papers · 1 filter
q-fin.MF2024
A pure dual approach for hedging Bermudan options
Aurélien Alfonsi, Ahmed Kebaier, Jérôme Lelong
This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value. It gives a "purely dual" algorithm following the spirit of Roge…
q-fin.MF2014
Smile with the Gaussian term structure model
Abdelkoddousse Ahdida, Aurélien Alfonsi, Ernesto Palidda
We propose an affine extension of the Linear Gaussian term structure Model (LGM) such that the instantaneous covariation of the factors is given by an affine process on semidefinit…