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Publications by Franck Moraux

Pricing and Hedging American and Hybrid Strangles With Finite Maturity

Journal of Banking and Finance

English

Continuous Barrier Range Options

Journal of Derivatives & Hedge Funds

English

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Pricing and Hedging Contingent Claims With Regime Switching Risk

Communications in Mathematical Sciences

Applied Mathematics

English

Pricing and Hedging Basket Options With Exact Moment Matching

Insurance: Mathematics and Economics

English

Pricing and Hedging Look-Back Power Options

Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications

English

Option Pricing and Hedging Bounds in Incomplete Markets

Journal of Derivatives & Hedge Funds

English

Alternative Neural Network Approach for Option Pricing and Hedging

SSRN Electronic Journal

English

Nonlinear Pricing With Finite Information

SSRN Electronic Journal

English

Pricing and Hedging Derivative Securities With Neural Networks: Bayesian Regularization, Early Stopping, and Bagging

IEEE Transactions on Neural Networks

English

Pricing American Options Using a Space-Time Adaptive Finite Difference Method

Mathematics and Computers in Simulation

Numerical Analysis

Applied Mathematics

Computer Science

Theoretical Computer Science

English

Exponential Utility Optimization, Indifference Pricing and Hedging for a Payment Process

Applicationes Mathematicae

English