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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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q-fin.PR2022★ 1 cited

VIX pricing in the rBergomi model under a regime switching change of measure

Henrique Guerreiro, João Guerra

The rBergomi model under the physical measure consists of modeling the log-variance as a truncated Brownian semi-stationary process. Then, a deterministic change of measure is appl…

q-fin.PR2017★ 8 cited

Multinomial method for option pricing under Variance Gamma

Nicola Cantarutti, João Guerra

This paper presents a multinomial method for option pricing when the underlying asset follows an exponential Variance Gamma process. The continuous time Variance Gamma process is a…