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Dive into the research topics where Bernard Lapeyre is active.

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Featured researches published by Bernard Lapeyre.


Acta Applicandae Mathematicae | 1990

Variational inequalities and the pricing of American options

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

A priori bound for the supremum of solutions of stable stochastic differential equations

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

Introduction to Stochastic Calculus Applied to Finance

Damien Lamberton; Bernard Lapeyre


Archive | 1997

Introduction au calcul stochastique appliqué à la finance

Damien Lamberton; Bernard Lapeyre


Journal of Computational Finance | 2001

Competitive Monte Carlo methods for the pricing of Asian options

Bernard Lapeyre; E. Temam


Mathematical Finance | 1993

Hedging Index Options With Few Assets

Damien Lamberton; Bernard Lapeyre


Transportation Research Part B-methodological | 2016

Infrastructure maintenance, regeneration and service quality economics: A rail example

Marc Gaudry; Bernard Lapeyre; Emile Quinet


Comptes rendus de l'Académie des sciences. Série 1, Mathématique | 1988

Inéquations variationnelles et théorie des options

Patrick Jaillet; Damien Lamberton; Bernard Lapeyre


Journal de mécanique théorique et appliquée | 1986

Une méthode numérique adaptée au calcul probabiliste des structures

N. Bouleau; Damien Lamberton; Bernard Lapeyre


Archive | 2001

Introduction aux Méthodes de Monte-Carlo

Laure Elie; Bernard Lapeyre

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Damien Lamberton

University of Marne-la-Vallée

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Emile Quinet

École des ponts ParisTech

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Patrick Jaillet

Massachusetts Institute of Technology

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E. Temam

École des ponts ParisTech

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Marc Gaudry

Université de Montréal

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