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dc.contributor.authorLaurent, Jean-Paul
HAL ID: 6949
dc.contributor.authorDarolles, Serge
dc.date.accessioned2012-05-04T11:45:48Z
dc.date.available2012-05-04T11:45:48Z
dc.date.issued2000-10
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9139
dc.language.isoenen
dc.subjectInfinitesimal generatoren
dc.subjectMarkov processen
dc.subjectSpectral analysisen
dc.subjectPayoff approximationen
dc.subjectPricing formulaen
dc.subject.ddc332en
dc.subject.classificationjelC10en
dc.subject.classificationjelC63en
dc.subject.classificationjelG12en
dc.titleApproximating payoffs and pricing formulasen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe use the ideas developed by Madan and Milne (1994. Mathematical Finance 3, 223–245), Lacoste (1996. Mathematical Finance 6, 197–213) to explore the optimality of polynomial approximations in pricing securities. In particular, we look at the approximations for security payoffs as well as the associated pricing formula in a L2 framework. We apply these ideas to two examples, one where the state variable follows an Ornstein–Uhlenbeck process and one based on Brownian motion with reflecting barriers, to illustrate the strengths and weaknesses of the approach.en
dc.relation.isversionofjnlnameJournal of Economic Dynamics and Control
dc.relation.isversionofjnlvol24en
dc.relation.isversionofjnlissue11-12en
dc.relation.isversionofjnldate2000-10
dc.relation.isversionofjnlpages1721–1746en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/S0165-1889(99)00092-5en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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