User profiles for Fabien Le Floc’h

Fabien Le Floc'h

TU Delft
Verified email at 2ipi.com
Cited by 154

TR-BDF2 for fast stable American option pricing

F Le Floc'h - The Journal of Computational Finance, 2014 - search.proquest.com
The trapezoidal rule with second-order backward difference formula (TR-BDF2) finite-difference
scheme is applied to the Black-Scholes-Merton partial differential equation on a …

Stochastic expansion for the pricing of Asian options

FL Floc'h - arXiv preprint arXiv:2402.17684, 2024 - arxiv.org
We present closed analytical approximations for the pricing of Asian options with discrete
averaging under the Black-Scholes model with time-dependent parameters. The formulae are …

More stochastic expansions for the pricing of vanilla options with cash dividends

FL Floc'h - arXiv preprint arXiv:2106.12051, 2021 - arxiv.org
There is no exact closed form formula for pricing of European options with discrete cash
dividends under the model where the underlying asset price follows a piecewise lognormal …

Notes on the SWIFT method based on Shannon Wavelets for Option Pricing--Revisited

FL Floc'h - arXiv preprint arXiv:2401.01758, 2024 - arxiv.org
Fabien Le Floch fabien@2ipi.com … We use the latter for a better comparison with the
results in [Le Floch 2020]. We then use ϵf = 10−4 which leads to J = 24. For the calculation …

[HTML][HTML] Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II

F Le Floc'h, CW Oosterlee - Risks, 2019 - mdpi.com
This paper explores the stochastic collocation technique, applied on a monotonic spline, as
an arbitrage-free and model-free interpolation of implied volatilities. We explore various …

Instabilities of Super-Time-Stepping Methods on the Heston Stochastic Volatility Model

FL Floc'h - arXiv preprint arXiv:2309.00540, 2023 - arxiv.org
This note explores in more details instabilities of explicit super-time-stepping schemes, such
as the Runge-Kutta-Chebyshev or Runge-Kutta-Legendre schemes, noticed in the litterature…

[HTML][HTML] Model-free stochastic collocation for an arbitrage-free implied volatility: Part I

F Le Floc'h, CW Oosterlee - Decisions in Economics and Finance, 2019 - Springer
This paper explains how to calibrate a stochastic collocation polynomial against market
option prices directly. The method is first applied to the interpolation of short-maturity equity …

Notes on the SWIFT method based on Shannon Wavelets for Option Pricing

FL Floc'h - arXiv preprint arXiv:2005.13252, 2020 - arxiv.org
This note shows that the cosine expansion based on the Vieta formula is equivalent to a
discretization of the Parseval identity. We then evaluate the use of simple direct algorithms to …

Maximum Implied Variance Slope--Practical Aspects

FL Floc'h, W Koller - arXiv preprint arXiv:2304.13610, 2023 - arxiv.org
In the Black-Scholes model, the absence of arbitrages imposes necessary constraints on
the slope of the implied variance in terms of log-moneyness, asymptotically for large log-…

The Quadratic Local Variance Gamma Model: an arbitrage-free interpolation of class for option prices

FL Floc'h - arXiv preprint arXiv:2305.13791, 2023 - arxiv.org
This paper generalizes the local variance gamma model of Carr and Nadtochiy, to a piecewise
quadratic local variance function. The formulation encompasses the piecewise linear …