202 citations · 444 across the 18 of their papers we have counts for
Showing 2021Show all
2 papers · 1 filter
math.PR2021
Limit theorems for prices of options written on semi-Markov processes
Enrico Scalas, Bruno Toaldo
We consider plain vanilla European options written on an underlying asset that follows a continuous time semi-Markov multiplicative process. We derive a formula and a renewal type…
math.PR2021★ 3 cited
A fractional generalization of the Dirichlet distribution and related distributions
Elvira Di Nardo, Federico Polito, Enrico Scalas
This paper is devoted to a fractional generalization of the Dirichlet distribution. The form of the multivariate distribution is derived assuming that the partitions of the int…