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hal-00334697v1  Journal articles
Benjamin JourdainJérôme Lelong. Robust Adaptive Importance Sampling for Normal Random Vectors
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2009, 19 (5), pp.1687-1718. ⟨10.1214/09-AAP595⟩
hal-00414280v2  Journal articles
Aurélien AlfonsiJérôme Lelong. A closed-form extension to the Black-Cox model
International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2012, 15 (8), pp.1250053:1-30. ⟨10.1142/S0219024912500537⟩
hal-00448864v2  Journal articles
Bernard LapeyreJérôme Lelong. A framework for adaptive Monte-Carlo procedures
Monte Carlo Methods and Applications, De Gruyter, 2011, 17 (1), pp.77-98. ⟨10.1515/MCMA.2011.002⟩
hal-00776703v1  Journal articles
Céline LabartJérôme Lelong. Pricing Parisian options using Laplace transforms
Bankers Markets & Investors : an academic & professional review, Groupe Banque, 2009, 99, 24 p