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20082022
most citedStochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion

146 citations

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Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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math.PR2016★ 10 cited

Barrier Option Pricing under the 2-Hypergeometric Stochastic Volatility Model

Rúben Sousa, Ana Bela Cruzeiro, Manuel Guerra

We investigate the pricing of financial options under the 2-hypergeometric stochastic volatility model. This is an analytically tractable model that reproduces the volatility smile…

math.PR2008★ 146 cited

Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion

João Guerra, David Nualart

We prove an existence and uniqueness theorem for solutions of multidimensional, time dependent, stochastic differential equations driven simultaneously by a multidimensional fracti…