Patrimony
The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).
Robust pricing-hedging duality for American options in discrete time financial markets.
60G05, American option, Kantorovich duality, Martingale, Nondominated model, Optimal transport, Secondary 49M29, Super-replication
Dual Pricing of American Options by Wiener Chaos Expansion.
American option, Duality, High performance computing, Sample average approximation, Snell envelope, Stochastic optimization, Wiener chaos expansion
Optimality of the Financial Decision and the Theory of American and Exotic Options.
Abandonment option, American option, Bornes d’exercice multiple, Early exercise premium, Equation intégrale, Expansion option, Hedging parameters, Integral equation, Investissement en univers incertain, Investment under uncertainty, Multiple exercise boundaries, Net present value, Occupation time, Option Américaine, Option Step, Option d’abandon, Option d’expansion, Option réelle, Paramètres de gestion, Prime d’exercice anticipé, Quadrature, Real option, Step options, Strangles, Temps d’occupation, Valeur actuelle nette
The robust pricing-hedging duality for American options in discrete time financial markets.
60G05, American option, Kantorovich duality, Martingale, Nondominated model, Optimal transport, Secondary 49M29, Super-replication