118 citations
- University of PaduaIT28 papers
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- Institut de recherche mathématique de RennesFR2 papers
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Showing 2022 · math.PRShow all
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math.PR2022★ 2 cited
Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes
Abel Azze, Bernardo D'Auria, Eduardo García-Portugués
We study the barrier that gives the optimal time to exercise an American option written on a time-dependent Ornstein--Uhlenbeck process, a diffusion often adopted by practitioners…
math.PR2022★ 1 cited
CBI-time-changed Lévy processes
Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda
We introduce and study the class of CBI-time-changed Lévy processes (CBITCL), obtained by time-changing a Lévy process with respect to an integrated continuous-state branching proc…