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Section: New Results

Option Pricing

Interest rates modeling. A. Alfonsi studies an affine term structure model for interest rates that involve Wishart diffusions (with E. Palidda) [28] . Affine term structure models (Dai and Singleton, Duffie, ...) consider vector affine diffusions. Here, we extend the Linear Gaussian Model (LGM) by including some Wishart dynamics, and to get a model that could better fit the market. We have obtained a price expansion around the LGM for Caplet and Swaption prices. Also, we present a second order discretization scheme that allow to calculate exotic prices with this model.

American Options. In joint work with Aych Bouselmi, D. Lamberton studied the asymptotic behavior of the exercise boundary near maturity for American put options in exponential Lévy models [34] .

He is currently working with M. Pistorius on the approximation of American options by Canadian options, which originated from the work of Peter Carr.

Barrier Options. Numerical pricing of double barrier options is investigated by A. Zanette and coauthors in [16] .