177 citations · 238 across the 18 of their papers we have counts for
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q-fin.CP2020
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models
Peter Carr, Andrey Itkin, Dmitry Muravey
We continue a series of papers where prices of the barrier options written on the underlying, which dynamics follows some one factor stochastic model with time-dependent coefficien…
q-fin.PR2020★ 9 cited
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process
Peter Carr, Andrey Itkin
In this paper we develop a semi-closed form solutions for the barrier (perhaps, time-dependent) and American options written on the underlying stock which follows a time-dependent…