Vathana Ly Vath

Université d'Évry

Bd. François Mitterrand

F-91025 Evry Cedex, 91028

France

SCHOLARLY PAPERS

3

DOWNLOADS

238

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Optimal Exit Strategies for Investment Projects

Number of pages: 33 Posted: 23 Apr 2013 Last Revised: 24 Oct 2014
Université de Marne-la-Vallée, Université d'Évry, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG) and Université Paris VII Denis Diderot
Downloads 129 (224,275)

Abstract:

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real options, stochastic control, liquidity discount, regime shifting, viscosity solutions, system of variational inequalities

2.

Optimal Execution Cost for Liquidation Through a Limit Order Market

Number of pages: 28 Posted: 30 Nov 2013 Last Revised: 26 Apr 2017
Université de Marne-la-Vallée, Université d'Évry, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG) and Université Paris VII Denis Diderot
Downloads 108 (255,468)

Abstract:

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Liquidity Risk, Limit Order Books, Impulse Control, Viscosity Solutions, System of Variational Inequalities

3.

Path-dependent American Options

Journal of Computational Finance, Vol. 23, No. 1, 2019
Number of pages: 36 Posted: 03 Jul 2019
Etienne Chevalier, Vathana Ly Vath and Mohamed Mnif
Université de Marne-la-Vallée, Université d'Évry and Ecole Nationale d'Ingénieurs de Tunis (ENIT)
Downloads 1 (661,356)
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Abstract:

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stochastic control, path-dependent viscosity solutions, numerical scheme, variational inequalities, American option