• Login
    Search 
    •   DSpace Home
    • College of Arts and Sciences (CAS)
    • Search
    •   DSpace Home
    • College of Arts and Sciences (CAS)
    • Search
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Search

    Show Advanced FiltersHide Advanced Filters

    Filters

    Use filters to refine the search results.

    Now showing items 1-10 of 12

    • Sort Options:
    • Relevance
    • Title Asc
    • Title Desc
    • Issue Date Asc
    • Issue Date Desc
    • Results Per Page:
    • 5
    • 10
    • 20
    • 40
    • 60
    • 80
    • 100
    Thumbnail

    The Randomized American Option as a Classical Solution to the Penalized Problem 

    Leduc, Guillaume (Hindawi, 2015)
    Thumbnail

    Convergence rate of the binomial tree scheme for continuously paying options 

    Leduc, Guillaume (Université du Québec à Montréal, 2012)
    Continuously Paying Options (CPOs) form a very natural class of derivatives for hedging risks coming from adverse movements of a continuously traded asset. We study the rate of convergence of CPOs evaluated under the ...
    Thumbnail

    A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices 

    Al-Khazali, Osamah; Leduc, Guillaume; Alsayed, Mohammad Saleh (Taylor & Francis Online, 2015)
    This article examines the martingale difference hypothesis (MDH) and the random walk hypothesis (RWH) for nine conventional and nine Islamic stock indices: Asia-Pacific, Canadian, Developed Country, Emerging, European, ...
    Thumbnail

    Convergence rate of regime-switching trees 

    Leduc, Guillaume; Zeng, Xiangchen (Elseveir, 2016)
    Considering a general class of regime-switching geometric random walks and a broad class of piecewise twice differentiable payoff functions, we show that convergence of option prices occurs at a speed of order 𝒪 (𝑛-ᵝ), ...
    Thumbnail

    Martingale problem for superprocesses with non-classical branching functional 

    Leduc, Guillaume (Elsevier, 2006)
    The martingale problem for superprocesses with parameters (𝛏, Ф, 𝑘) is studied where 𝑘(𝒹𝑠) may not be absolutely continuous with respect to the Lebesgue measure. This requires a generalization of the concept of ...
    Thumbnail

    Exercisability Randomization of the American Option 

    Leduc, Guillaume (Taylor & Frances Online, 2008)
    The valuation of American options is an optimal stopping time problem which typically leads to a free boundary problem. We introduce here the randomization of the exercisability of the option. This method considerably ...
    Thumbnail

    Market Efficiency of Floating Exchange Rate Systems: Some Evidence from Pacific-Asian Countries 

    Al-Khazali, Osamah; Leduc, Guillaume; Pyun, Chong S. (Elsevier, 2011)
    This paper examines the random walk hypothesis (RWH) and the martingale difference hypothesis (MDH) for the Australian dollar and five Asian emerging currencies relative to three benchmark currencies. We use Wright’s (2000) ...
    Thumbnail

    A European option general first-order error formula 

    Leduc, Guillaume (Cambridge, 2013)
    We study the value of European security derivatives in the Black-Scholes model, when the underlying asset 𝛏 is approximated by random walks 𝛏(𝑛). We obtain an explicit error formula, up to a term of order 𝒪(𝑛⁻³/² ), ...
    Thumbnail

    Option convergence rate with geometric random walks approximations 

    Leduc, Guillaume (Taylor & Frances Online, 2016)
    We describe a broad setting under which, for European options, if the underlying asset form a geometric random walk then, the error with respect to the Black–Scholes model converges to zero at a speed of 1/𝑛 for continuous ...
    Thumbnail

    Path Independence of Exotic Options and Convergence of Binomial Approximations 

    Leduc, Guillaume; Palmer, Kenneth J. (Infopro Digital Risk (IP), 2019)
    The analysis of the convergence of tree methods for pricing barrier and lookback options has been the subject of numerous publications aiming at describing, quantifying, and improving the slow and oscillatory convergence ...
    • 1
    • 2

    Browse

    All of DSpaceCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsCollege/DeptArchive ReferenceSeriesThis CommunityBy Issue DateAuthorsTitlesSubjectsCollege/DeptArchive ReferenceSeries

    My Account

    LoginRegister

    Discover

    Author
    Leduc, Guillaume (12)
    Al-Khazali, Osamah (2)Alsayed, Mohammad Saleh (1)Orosi, Gergely (1)Palmer, Kenneth J. (1)Pyun, Chong S. (1)Zeng, Xiangchen (1)SubjectRate of convergence (3)Black-Scholes (2)Martingale difference hypothesis (2)American options (1)Approximation scheme (1)Barrier (1)Binomial (1)Binomial tree (1)Black–Scholes (1)Branching functional (1)... View MoreDate Issued2010 - 2019 (10)2006 - 2009 (2)Has File(s)Yes (12)

    DSpace software copyright © 2002-2016  DuraSpace
    Submission Policies | Terms of Use | Takedown Policy | Privacy Policy | About Us | Contact Us | Send Feedback

    Return to AUS
    Theme by 
    Atmire NV