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Advanced Monte Carlo methods for barrier and related exotic options

Gobet, Emmanuel - 2009

Persistent link: https://www.econbiz.de/10003827024

Discrete time hedging errors for options with irregular payoffs

Gobet, Emmanuel; Temam, Emmanuel - In: Finance and stochastics 5 (2001) 3, pp. 357-367

Persistent link: https://www.econbiz.de/10001599284

Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options

Bernis, Guillaume; Gobet, Emmanuel; Kohatsu-Higa, Arturo - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 99-113

Persistent link: https://www.econbiz.de/10001765655

Nonparametric estimation of scalar diffusions based on low frequency data is ill-posed

Gobet, Emmanuel; Hoffmann, Marc; Reiß, Markus - 2002

Persistent link: https://www.econbiz.de/10001697748

Analytical Formulas for Local Volatility Model with Stochastic Rates

Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed - 2009

This paper presents new approximation formulae of European options in a local volatility model with stochastic interest rates. This is a companion paper to our work on perturbation methods for local volatility models http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1275872 for the case of...

Persistent link: https://www.econbiz.de/10014202471

Fractional smoothness and applications in finance

Geiss, Stefan; Gobet, Emmanuel - In: Advanced mathematical methods for finance, (pp. 313-331). 2011

Persistent link: https://www.econbiz.de/10008991284

Expansion formulas for European options in a local volatility model

Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 603-634

Persistent link: https://www.econbiz.de/10008905020

The tracking error rate of the Delta-Gamma hedging strategy

Gobet, Emmanuel; Makhlouf, Azmi - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 277-309

Persistent link: https://www.econbiz.de/10009613201