Guillaume Leduc obtained a Ph.D. from Carleton University in 1995. Before returning to academia, he worked for financial institutions, insurance companies, and actuarial firms such as Caisse de dépôt et placement du Québec (CDPQ), Standard Life, and Morneau Shepell. Since 2004, he has been working at the American University of Sharjah in the United Arab Emirates. His research interests include branching measure-valued (BMV) processes and discrete approximations of stochastic models in option pricing.
In this paper, the authors analyse the convergence of tree methods for pricing barrier and lookback options.