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Amel Bentata

Publications and source records attributed to Amel Bentata.

6 recordsLinked to original sources
arXiv2012

Mimicking the marginal distributions of a semimartingale

We exhibit conditions under which the flow of marginal distributions of a discontinuous semimartingale $ξ$ can be matched by a Markov process, whose infinitesimal generator is expressed in terms of the local characteristics of $ξ$. Our construction applies to a large class of semimartingales, including smooth functions of a Markov process. We use this result to derive a partial integro-differential equation for the one-dimensional distributions of a semimartingale, extending the Kolmogorov forward equation to a non-Markovian setting.

math.PR↗
arXiv2012

Short-time asymptotics for marginal distributions of semimartingales

We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms of the local characteristics of the semimartingale. We derive in particular the asymptotic behavior of call options with short maturity in a semimartingale model: whereas the behavior of \textit{out-of-the-money} options is found to be linear in time, the short time asymptotics of \textit{at-the-money} options is shown to depend on the fine structure of the semimartingale.

math.PR↗
arXiv2012

Forward equations for option prices in semimartingale models

We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by a -possibly discontinuous- semimartingale. A uniqueness theorem is given for the solutions of this equation. This result generalizes Dupire's forward equation to a large class of non-Markovian models with jumps.

q-fin.PR↗
arXiv2008

A note about conditional Ornstein-Uhlenbeck processes

In this short note, the identity in law, which was obtained by P. Salminen, between on one hand, the Ornstein-Uhlenbeck process with parameter gamma, killed when it reaches 0, and on the other hand, the 3-dimensional radial Ornstein-Uhlenbeck process killed exponentially at rate gamma and conditioned to hit 0, is derived from a simple absolute continuity relationship.

math.PR↗