Articles by Jérôme Lelong
Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach
In this work, the authors propose a new policy iteration algorithm for pricing Bermudan options when the payoff process cannot be written as a function of a lifted Markov process.
Importance sampling for jump processes and applications to finance
Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian-driven diffusions. In this paper, the authors extend them to jump processes.