Bernard Lapeyre
École des ponts ParisTech
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Publication
Featured researches published by Bernard Lapeyre.
Acta Applicandae Mathematicae | 1990
Patrick Jaillet; Damien Lamberton; Bernard Lapeyre
This paper is devoted to the derivation of some regularity properties of pricing functions for American options and to the discussion of numerical methods, based on the Bensoussan-Lions methods of variational inequalities. In particular, we provide a complete justification of the so-called Brennan-Schwartz algorithm for the valuation of American put options.
Stochastics An International Journal of Probability and Stochastic Processes | 1989
Bernard Lapeyre
An upper bound for the solutions of stochastic differential equations for which the drift satisfies a usual stability assumption is given. This bound, valid for any time, only needs to make use of explicit constants which can be obtained from the coefficients of these stochastic differential equations. The same kind of result is obtained for Lyapounov functions.
Archive | 2007
Damien Lamberton; Bernard Lapeyre
Archive | 1997
Damien Lamberton; Bernard Lapeyre
Journal of Computational Finance | 2001
Bernard Lapeyre; E. Temam
Mathematical Finance | 1993
Damien Lamberton; Bernard Lapeyre
Transportation Research Part B-methodological | 2016
Marc Gaudry; Bernard Lapeyre; Emile Quinet
Comptes rendus de l'Académie des sciences. Série 1, Mathématique | 1988
Patrick Jaillet; Damien Lamberton; Bernard Lapeyre
Journal de mécanique théorique et appliquée | 1986
N. Bouleau; Damien Lamberton; Bernard Lapeyre
Archive | 2001
Laure Elie; Bernard Lapeyre