Browsing College of Arts and Sciences (CAS) by Author "e3c3923b-3e93-48d3-be9f-ae78397fadc2"
Now showing items 1-6 of 6
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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), ... -
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 ... -
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 ), ... -
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 ... -
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 ... -
The Randomized American Option as a Classical Solution to the Penalized Problem
Leduc, Guillaume (Hindawi, 2015)