Details about Tristan Guillaume

Access statistics for papers by Tristan Guillaume.

Last updated 2020-02-09. Update your information in the RePEc Author Service.

Short-id: pgu133

Journal Articles

2019

1. On the multidimensional Black–Scholes partial differential equation
   Annals of Operations Research, 2019, 281, (1), 229-251 View citations (4)

2016

2. An Analytically Tractable Model for Pricing Multiasset Options with Correlated Jump-Diffusion Equity Processes and a Two-Factor Stochastic Yield Curve
   Journal of Applied Mathematics, 2016, 2016, 1-14 View citations (2)

2015

3. Analytical valuation of autocallable notes
   International Journal of Financial Engineering (IJFE), 2015, 02, (02), 1-23 View citations (3)
4. On the Computation of the Survival Probability of Brownian Motion with Drift in a Closed Time Interval When the Absorbing Boundary Is a Step Function
   Journal of Probability and Statistics, 2015, 2015, 1-22 View citations (3)

2008

5. Making the best of best-of
   Review of Derivatives Research, 2008, 11, (1), 1-39 View citations (3)

2001

6. valuation of options on joint minima and maxima
   Applied Mathematical Finance, 2001, 8, (4), 209-233 View citations (3)