Breton Michle

Michle Breton

Information about the author Michle Breton will soon be added to the site.
Found 8 papers in total
Option pricing under GARCH processes using PDE methods
Option pricing under GARCH processes using PDE methods
2010
In this paper, we propose a partial differential equation formulation for the value of...
Dynamic Programming Approach for Valuing Options in the GARCH Model
Dynamic Programming Approach for Valuing Options in the GARCH Model
2009
In this paper, we develop an efficient algorithm to value options under...
A note on feedback sequential equilibria in a Lanchester model with empirical application
A note on feedback sequential equilibria in a Lanchester model with empirical application
2006
We study in this paper dynamic equilibrium advertising strategies in a duopoly with...
Dynamic R&D with strategic behavior
Dynamic R&D with strategic behavior
2006
We consider a two-player infinite-horizon discrete-time game where the players invest...
A dynamic programming approach to price installment options
A dynamic programming approach to price installment options
2006
Installment options are Bermudan-style options where the holder periodically decides...
A game-theoretic formulation of joint implementation of environmental projects
A game-theoretic formulation of joint implementation of environmental projects
2006
The aim of this paper is to provide a game-theoretic interpretation of joint...
An oil pipeline design problem
An oil pipeline design problem
2003
We consider a given set of offshore platforms and onshore wells producing known (or...
A dynamic programming procedure for pricing American-style Asian options
A dynamic programming procedure for pricing American-style Asian options
2002
Pricing European-style Asian options based on the arithmetic average, under the Black...
Papers per page: