AR
Alexandre Roch
math.PRmath.APmath.OCq-fin.CPq-fin.PRq-fin.TR
On Valency
published · living versionsW_dxnq6h2u·v1 · currentpublished
Preprints & journals
3 papers in the corpus · 2008–2024Optimal withdrawals in a general diffusion model with control rates subject to a state-dependent upper bound2406.12067v1 · H'elene Gu'erin, Dante Mata, Jean-Francois Renaud et al.2024 · 0 citationsarXiv
Liquidity Risk, Price Impacts and the Replication Problem0812.2440v2 · Alexandre F. Roch2008 · 48 citationsarXiv
Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type0812.2444v1 · Alexandre F. Roch2008 · 3 citationsarXiv
Career total: 21 works. 3 are in this corpus.
Profile built from the corpus for this byline.
Author records are still filling in while the Hub is in alpha. If this is your page, you'll be able to claim it soon. Spot a mistake? Tell us.