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General Duality for Perpetual American Options

Alfonsi, Aurélien; Jourdain, Benjamin - 2009

In this paper, we investigate the generalization of the Call-Put duality equality obtained in Alfonsi and Jourdain for perpetual American options when the Call-Put payoff (y - x) is replaced by ϕ(x,y). It turns out that the duality still holds under monotonicity and concavity assumptions on ϕ....

Persistent link: https://www.econbiz.de/10014200324

Risk valuation of quanto derivatives on temperature and electricity

Alfonsi, Aurélien; Vadillo, Nerea - In: Applied mathematical finance 30 (2023) 6, pp. 275-312

Persistent link: https://www.econbiz.de/10015194149

Smile with the Gaussian term structure model

Ahdida, Abdelkoddousse; Alfonsi, Aurélien; Palidda, Ernesto - In: The journal of computational finance 21 (2017) 1, pp. 115-157

Persistent link: https://www.econbiz.de/10011691616

Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds

Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-41

Persistent link: https://www.econbiz.de/10012019745

A stochastic volatility model for the valuation of temperature derivatives

Alfonsi, Aurélien; Vadillo, Nerea - In: IMA journal of management mathematics 35 (2024) 4, pp. 737-785

Persistent link: https://www.econbiz.de/10015333096

A closed-form extension to the Black-Cox model

Alfonsi, Aurélien; Lelong, Jérõme - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-30

Persistent link: https://www.econbiz.de/10009706338

Pricing path-dependent Bermudan options using Wiener chaos expansion : an embarrassingly parallel approach

Lelong, Jérõme - In: The journal of computational finance 24 (2020) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10012543612